Contour Map of Estimation Error for Expected Shortfall
Download or Read eBook Contour Map of Estimation Error for Expected Shortfall PDF written by Imre Kondor and published by . This book was released on 2015 with total page 5 pages. Available in PDF, EPUB and Kindle.
| Author | : Imre Kondor |
| Publisher | : |
| Total Pages | : 5 |
| Release | : 2015 |
| ISBN-10 | : OCLC:1306924891 |
| ISBN-13 | : |
| Rating | : 4/5 (91 Downloads) |
Book Synopsis Contour Map of Estimation Error for Expected Shortfall by : Imre Kondor
Book excerpt: 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.
