Forecasting and Backtesting Gradient Allocations of Expected Shortfall

Fuente: arXiv

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Bibliographic Details
Main Authors:	Koike, Takaaki, Chen, Cathy W. S., Lin, Edward M. H.
Format:	Preprint
Published:	2024
Subjects:	Risk Management 62F07, 62P05, 91B30
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2401.11701