An alternative nonparametric tail risk measure

DOI10.1080/14697688.2020.1787491zbMath1477.91048OpenAlexW3080253162MaRDI QIDQ5014199

No author found.

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1787491

zbMATH Keywords

asset pricingstochastic discount factorrisk optimizationrisk neutralization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Uses Software

• MacMPEC

Cites Work

• Nonparametric risk management and implied risk aversion
• Coherent Measures of Risk
• A Generalized Measure of Riskiness
• The Impact of Uncertainty Shocks
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Theory of Disappointment Aversion
• Solving mathematical programs with complementarity constraints as nonlinear programs
• Common risk factors in the returns on stocks and bonds

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