CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles

CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called CVaR (...

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Bibliographic Details
Main Authors: Alex Golodnikov, Viktor Kuzmenko, Stan Uryasev
Format: Article
Language:English
Published: MDPI AG 2019-06-01
Series:Journal of Risk and Financial Management
Subjects:
quantile
VaR
quadrangle
CVaR
conditional value-at-risk
expected shortfall
ES
superquantile
deviation
risk
error
regret
minimization
CVaR estimation
regression
linear regression
linear programming
portfolio safeguard
PSG
Online Access:https://www.mdpi.com/1911-8074/12/3/107

Internet

https://www.mdpi.com/1911-8074/12/3/107

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