Portfolio optimization under Expected Shortfall: contour maps of estimation error

DOI10.1080/14697688.2017.1390245zbMath1400.91531arXiv1510.04943OpenAlexW2162306776MaRDI QIDQ4554495

Imre Kondor, Gábor Papp, Fabio Caccioli

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.04943

zbMATH Keywords

replica methodexpected shortfallestimation error

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (max. 100)

Analytic solution to variance optimization with no short positions ⋮ Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

Uses Software

• ElemStatLearn

Cites Work

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