Optimizing Expected Shortfall under an <i>ℓ</i><sub>1</sub> Constraint—An Analytic Approach
Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio <inline-formula><math xmlns="http://www...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-04-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/5/523 |