Estimating the VaR-induced Euler allocation rule

DOI10.1017/ASB.2023.17MaRDI QIDQ6569741zbMATH OpenFDO

Authors N. V. Gribkova, Jianxi Su, Ričardas Zitikis

Publication date 9 July 2024

Published in ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

quantile regressionorder statisticsconcomitantscapital allocationsconditional mean risk sharing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cites work

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