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Portfolio optimization under Expected Shortfall: contour maps of estimation error - MaRDI portal

Portfolio optimization under Expected Shortfall: contour maps of estimation error (Q4554495)

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scientific article; zbMATH DE number 6979525
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English
Portfolio optimization under Expected Shortfall: contour maps of estimation error
scientific article; zbMATH DE number 6979525

    Statements

    title
    Portfolio optimization under Expected Shortfall: contour maps of estimation error (English)
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    author
    Imre Kondor
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    Gábor Papp
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    Fabio Caccioli
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    publication date
    14 November 2018
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    zbMATH Keywords
    expected shortfall
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    estimation error
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    replica method
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    Identifiers

    zbMATH DE Number
    6979525
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    OpenAlex ID
    W2162306776
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    arXiv ID
    1510.04943
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