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Results for expected shortfall

Publications & Outputs

  1. Estimating Portfolio Risk for Tail Risk Protection Strategies

    Happersberger, D., Lohre, H. & Nolte, I., 3/02/2020, In : European Financial Management. 26, 4, p. 1107-1146 40 p.

    Research output: Contribution to journal › Journal article › peer-review

  2. A confidence interval procedure for expected shortfall risk measurement via two-level simulation

    Lan, H., Nelson, B. L. & Staum, J., 09/2010, In : Operations Research. 58, 5, p. 1481-1490 10 p.

    Research output: Contribution to journal › Journal article › peer-review