Forecasting and backtesting gradient allocations of expected shortfall (Q6911995)
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scientific article; zbMATH DE number 8109851
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| English | Forecasting and backtesting gradient allocations of expected shortfall |
scientific article; zbMATH DE number 8109851 |
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Forecasting and backtesting gradient allocations of expected shortfall (English)
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23 October 2025
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capital allocation
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compositional data analysis
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dynamic risk management
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elicitability
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Euler principle
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expected shortfall
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