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20172024
most citedConsistent Estimation of the High-Dimensional Efficient Frontier

3 citations · 4 across the 4 of their papers we have counts for

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q-fin.RM2022

Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR

Taras Bodnar, Vilhelm Niklasson, Erik Thorsén

In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested. The new method is…