Search Results - subject:"TailVaR"

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices … analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR …

Persistent link: https://www.econbiz.de/10012887711

Empirical analysis on economic capital by TailVaR model

Fan, Liu; Ling, Tian - In: International journal of information technology and … 13 (2014) 1, pp. 95-102

Persistent link: https://www.econbiz.de/10010405018