An alternative nonparametric tail risk measure

DOI10.1080/14697688.2020.1787491MaRDI QIDQ5014199zbMATH OpenOpenAlexFDO

Authors

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

asset pricingrisk neutralizationrisk optimizationstochastic discount factor

Mathematics Subject Classification ID

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

Recommendations

• Tail nonlinearly transformed risk measure and its application
• Tail risk measures using flexible parametric distributions
• The case of ``Less is more: modelling risk-preference with expected downside risk
• A characterization of optimal portfolios under the tail mean-variance criterion
• Model-free inference for tail risk measures

Cites work

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

Cited in

(2)

• On tail trend detection: modeling relative risk
• scientific article; zbMATH DE number 1036074 (Why is no real title available?)

Describes a project that uses

Uses Software

• MacMPEC

This page was built for publication: An alternative nonparametric tail risk measure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014199)