Derivative Preserving Conditions in Conditional Expectation Operator
Fuente:
arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
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| _version_ | 1866914910989975552 |
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| author | Gankhuu, Battulga |
| author_facet | Gankhuu, Battulga |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_18180 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Derivative Preserving Conditions in Conditional Expectation Operator Gankhuu, Battulga Probability 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. |
| title | Derivative Preserving Conditions in Conditional Expectation Operator |
| topic | Probability |
| url | https://arxiv.org/abs/2406.18180 |