Portfolio optimization under expected shortfall: contour maps of estimation error (Q4554495)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6979525
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Portfolio optimization under expected shortfall: contour maps of estimation error |
scientific article; zbMATH DE number 6979525 |
Statements
Portfolio optimization under Expected Shortfall: contour maps of estimation error (English)
0 references
14 November 2018
0 references
expected shortfall
0 references
estimation error
0 references
replica method
0 references
0.8103161454200745
0 references
0.7535040378570557
0 references
0.7508612275123596
0 references
0.7489388585090637
0 references
