Asymptotically efficient estimation of the conditional expected shortfall

Abstract

A procedure for efficient estimation of the trimmedmean of a random variable conditional on a set of covariates is proposed. For concreteness, the focus is on a financial application where the trimmed mean of interest corresponds to the conditional expected shortfall, which is known to be a coherent risk measure. The proposed class of estimators is based on… (More)
DOI: 10.1016/j.csda.2011.02.020

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