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Backtestability and the ridge backtest - MaRDI portal

Backtestability and the ridge backtest (Q6187723)

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scientific article; zbMATH DE number 7788146
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English
Backtestability and the ridge backtest
scientific article; zbMATH DE number 7788146

    Statements

    title
    Backtestability and the ridge backtest (English)
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    author
    C. Acerbi
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    Balázs Székely
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    publication date
    15 January 2024
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    zbMATH Keywords
    backtestability
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    elicitability
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    expected shortfall
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    value at risk
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    sharp backtests
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    ridge backtests
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    Identifiers

    Mathematics Subject Classification ID
    62G10
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    60G25
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    91G70
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    zbMATH DE Number
    7788146
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    OpenAlex ID
    W4387757079
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    DOI
    10.3934/FMF.2023019
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