Contour map of estimation error for Expected Shortfall

2015/02/22 by Imre Kondor, Kondor, Imre, Fabio Caccioli +5
Economics, Econometrics and Finance · #FOS: Economics and business #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #q-fin.PM #q-fin.RM

paper · pdf · doi:10.48550/arxiv.1502.06217

5 pages, 1 figure

arxiv created 2015/02/22 · arxiv updated 2015/02/24

Abstract

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.

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