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On the Conditional Value-at-Risk probability-dependent utility function

โœ Scribed by Alexandre Street


Publisher
Springer US
Year
2009
Tongue
English
Weight
378 KB
Volume
68
Category
Article
ISSN
0040-5833

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โœ Farhat Iqbal; Kanchan Mukherjee ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 119 KB ๐Ÿ‘ 2 views

## ABSTRACT In this paper, we investigate the performance of a class of Mโ€estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of valueโ€atโ€risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and Bโ€estimator, as well