OPTIMAL NONPARAMETRIC ESTIMATION OF THE EXPECTED SHORTFALL RISK

By DANIEL BARTL, STEPHAN ECKSTEIN

Published 2024-05-01

Everscope rating

1879.1

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Novel estimator for expected shortfall. Problem types: Risk Management, Statistical Estimation.

arXiv:2405.00357 · Paper rankings

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