Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement

DOI10.1287/opre.2017.1591zbMath1407.91224OpenAlexW2605844352MaRDI QIDQ4604901

Sandeep Juneja, Guangwu Liu, L. Jeff Hong

Publication date: 6 March 2018

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a937aa6f9eb415a28f55bac57aa8150b97492ba8

zbMATH Keywords

kernel estimationnested estimationportfolio risk measurement

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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