68 citations
- Eötvös Loránd UniversityHU7 papers
- London Mathematical LaboratoryGB4 papers
- Systemic Risk CentreGB4 papers
- University College LondonGB4 papers
- Complexity Science HubAT3 papers
- Institute for Frontier Areas of Psychology and Mental HealthDE3 papers
- London School of Economics and Political ScienceGB3 papers
- University of FreiburgDE3 papers
- Carl von Ossietzky Universität OldenburgDE1 paper
- Corvinus University of BudapestHU1 paper
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q-fin.RM2015★ 1 cited
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
Fabio Caccioli, Imre Kondor, Gábor Papp
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar…
q-fin.RM2014
Estimation Error of Expected Shortfall
Imre Kondor
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.