Hedge fund portfolio selection with modified expected shortfall [PDF]
Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed.
Boudt, Kris +2 more
core +1 more source
On the Feasibility of Portfolio Optimization under Expected Shortfall [PDF]
, 2006 We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting.
Ciliberti, Stefano +2 more
core +2 more sources
Arthritis Care &Research, Accepted Article.Objective We aimed to construct and evaluate the first laboratory‐based frailty index (FI‐Lab) for predicting adverse outcomes in systemic lupus erythematosus (SLE) and to compare its predictive ability to that of an existing clinical frailty index (FI).
Grace Burns +2 more
wiley +1 more source
Fair Estimation of Capital Risk Allocation
, 2019 In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular ...
Bielecki, Tomasz R. +3 more
core +1 more source
High Health Care Utilization Preceding Diagnosis With Juvenile Idiopathic Arthritis
Arthritis Care &Research, EarlyView.Objective Although early diagnosis improves long‐term outcomes, patients with juvenile idiopathic arthritis (JIA) often experience prolonged, circuitous paths to diagnosis. To inform diagnostic improvement, we sought to characterize health care utilization in the year preceding diagnosis. Methods We identified 10,021 patients with an incident diagnosis
Anna Costello +5 more
wiley +1 more source
Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
europepmc +1 more source
Trajectories of Physical Function in Canadian Children with Juvenile Idiopathic Arthritis
Arthritis Care &Research, Accepted Article.Objectives We describe trajectories of physical function in children newly diagnosed with juvenile idiopathic arthritis (JIA) and identify trajectories with persisting functional impairments and associated baseline characteristics. Methods We included patients enrolled in the Canadian Alliance of Pediatric Rheumatology Investigators (CAPRI) Registry ...
Clare Cunningham +14 more
wiley +1 more source
Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress [PDF]
In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these
Yamai, Yasuhiro, Yoshiba, Toshinao
core
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
, 2008 We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
core +1 more source
Large deviations for risk measures in finite mixture models
, 2018 Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data.
Bignozzi, Valeria +2 more
core +1 more source