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stat.ME2026
Expected Shortfall Regression via Optimization
Yuanzhi Li, Shushu Zhang, Xuming He
To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution.…
stat.ME2023★ 2 cited
High-Dimensional Expected Shortfall Regression
Shushu Zhang, Xuming He, Kean Ming Tan +1
Expected shortfall is defined as the average over the tail below (or above) a certain quantile of a probability distribution. Expected shortfall regression provides powerful tools…