Portfolio optimization under Expected Shortfall: contour maps of estimation error (2017)

First Author: Caccioli F

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2017.1390245

Publication URI: http://dx.doi.org/10.1080/14697688.2017.1390245

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 8