Computation of expected shortfall by fast detection of worst scenarios

DOI10.1080/14697688.2021.1880618zbMath1479.91448arXiv2005.12593OpenAlexW3145324470MaRDI QIDQ5014243

Adil Reghai, Benjamin Virrion, Bruno Bouchard

Publication date: 1 December 2021

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

Full work available at URL: https://arxiv.org/abs/2005.12593

zbMATH Keywords

expected shortfallranking and selectionsequential designBayesian filter

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Dynamic programming (90C39)

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