Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (Q1715530)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization |
scientific article; zbMATH DE number 7007208
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization |
scientific article; zbMATH DE number 7007208 |
Statements
Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (English)
0 references
28 January 2019
0 references
asymptotic normality
0 references
dependent observations
0 references
expectiles
0 references
extrapolation
0 references
extreme values
0 references
heavy tails
0 references
\(L^{p}\) optimization
0 references
mixing
0 references
quantiles
0 references
tail risk
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
