Contour map of estimation error for Expected Shortfall
Risk Management
2015-02-24 v1 Portfolio Management
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.
Cite
@article{arxiv.1502.06217,
title = {Contour map of estimation error for Expected Shortfall},
author = {Imre Kondor and Fabio Caccioli and Gábor Papp and Matteo Marsili},
journal= {arXiv preprint arXiv:1502.06217},
year = {2015}
}
Comments
5 pages, 1 figure