Results for expected shortfall

Publications & Outputs

1. Estimating Portfolio Risk for Tail Risk Protection Strategies

   Happersberger, D., Lohre, H. & Nolte, I., 3/02/2020, (E-pub ahead of print) In: European Financial Management. 26, 4, p. 1107-1146 40 p.

   Research output: Contribution to Journal/Magazine › 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/Magazine › Journal article › peer-review