Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884): Difference between revisions

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-.1007/s00362-017-0952-2
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+Coherent Measures of Risk
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+Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
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+Nonparametric estimation of conditional VaR and expected shortfall
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+Large deviations bounds for estimating conditional value-at-risk
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+CVaR norm and applications in optimization
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+On estimating the conditional expected shortfall
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+On Bahadur representation for sample quantiles under \(\alpha\)-mixing sequence
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+.1007/S00362-017-0952-2
@@ Property / DOI: 10.1007/S00362-017-0952-2 / rank @@
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+Publication:2306884