Optimizing Expected Shortfall under an l1 Constraint-An Analytic Approach. (2021)

First Author: Papp G

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.3390/e23050523

PubMed Identifier: 33923328

Publication URI: http://europepmc.org/abstract/MED/33923328

Type: Journal Article/Review

Volume: 23

Parent Publication: Entropy (Basel, Switzerland)

Issue: 5

ISSN: 1099-4300