Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (Q1715530)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization |
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Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (English)
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28 January 2019
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asymptotic normality
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dependent observations
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expectiles
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extrapolation
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extreme values
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heavy tails
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\(L^{p}\) optimization
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mixing
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quantiles
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tail risk
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