Optimizing Expected Shortfall under an ℓ1 Constraint—An Analytic Approach
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DOI: 10.3390/e23050523
Abstract: Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio… read more here.
Keywords: portfolio; optimizing expected; expected shortfall; constraint ... See more keywords