Contour map of estimation error for Expected Shortfall
classification
💱 q-fin.RM
q-fin.PM
keywords
errorestimationgivencontourexpectedshortfallsizeallows
read the original abstract
The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given confidence level and a given estimation error.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.