Portfolio optimization under expected shortfall: contour maps of estimation error (Q4554495)
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scientific article; zbMATH DE number 6979525
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| 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)
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14 November 2018
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expected shortfall
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estimation error
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replica method
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0.8103161454200745
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0.7535040378570557
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0.7508612275123596
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0.7489388585090637
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