Comparing the small-sample estimation error of conceptually different risk measures
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Cites work
- A minimax portfolio selection rule with linear programming solution
- A novel group ranking model for revealing sequence and quantity knowledge
- After VAR: the theory, estimation, and insurance applications of quantile-based risk measures
- An application of incomplete pairwise comparison matrices for ranking top tennis players
- Autoregressive Conditional Density Estimation
- Capital asset pricing model (CAPM) with drawdown measure
- Comparing medians
- Compatibility of expected utility and / approaches to risk for a class of non location-scale distributions
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Estimation methods for expected shortfall
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- scientific article; zbMATH DE number 3823438 (Why is no real title available?)
- Measures of risk
- On blest's measure of rank correlation
- On the role of skewness, kurtosis, and the location and scale condition in a Sharpe ratio performance evaluation setting
- Portfolio performance evaluation with loss aversion
- Ranking of investment funds: acceptability versus robustness
- Ranking robustness and its application to evacuation planning
- Some properties of the tukey g and h family of distributions
- Sufficient conditions under which SSD- and MR-efficient sets are identical
- THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
- Two-parameter decision models and rank-dependent expected utility
- Value-at-Risk Prediction: A Comparison of Alternative Strategies
- When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
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