Contour map of estimation error for Expected Shortfall

Imre Kondor (), Fabio Caccioli, G\'abor Papp and Matteo Marsili

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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.

Date: 2015-02
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1502.06217

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