Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure

DOI10.1080/03610926.2019.1630439OpenAlexW2969169229MaRDI QIDQ5079025FDOQ5079025

Authors: Shengxue Wei, Xiaoli Gan, Guo-Dong Xing 

Publication date: 25 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1630439

zbMATH Keywords

asymptoticsexpected shortfallpower-lawspectral risk measurebivariate Eyraud-Farlie-Gumbel-Morgenstern copula

Mathematics Subject Classification ID

Statistics (62-XX) Central limit and other weak theorems (60F05)

Cites Work

• Coherent measures of risk
• Stable Paretian models in finance
• Title not available (Why is that?)
• The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
• Institutional Investors and Stock Market Volatility
• Proper Conditioning for Coherent VaR in Portfolio Management
• A characterization of joint distribution of two-valued random variables and its applications
• Adjusted empirical likelihood for value at risk and expected shortfall

Cited In (2)

• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

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