An alternative nonparametric tail risk measure

DOI10.1080/14697688.2020.1787491zbMATH Open1477.91048OpenAlexW3080253162MaRDI QIDQ5014199FDOQ5014199

Author name not available (Why is that?)

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1787491

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zbMATH Keywords

asset pricingstochastic discount factorrisk optimizationrisk neutralization

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Coherent measures of risk
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• Solving mathematical programs with complementarity constraints as nonlinear programs
• Nonparametric risk management and implied risk aversion
• A Theory of Disappointment Aversion
• The Impact of Uncertainty Shocks
• A generalized measure of riskiness

Cited In (2)

• Title not available (Why is that?)
• On tail trend detection: modeling relative risk

Uses Software

• MacMPEC

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