Estimating the VaR-induced Euler allocation rule
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Publication:6569741
DOI10.1017/ASB.2023.17zbMATH Open1545.91263MaRDI QIDQ6569741FDOQ6569741
N. V. Gribkova, Ričardas Zitikis, Jianxi Su
Publication date: 9 July 2024
Published in: ASTIN Bulletin (Search for Journal in Brave)
Nonparametric regression and quantile regression (62G08) Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)
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