Derivative Preserving Conditions in Conditional Expectation Operator
Probability
2024-08-14 v2
Abstract
In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduces higher order derivatives of the Expected Shortfall for a generic nonlinear portfolio loss random variable.
Cite
@article{arxiv.2406.18180,
title = {Derivative Preserving Conditions in Conditional Expectation Operator},
author = {Battulga Gankhuu},
journal= {arXiv preprint arXiv:2406.18180},
year = {2024}
}
Comments
10 pages