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On the stability problem for conditional expectation

✍ Scribed by Wlodzimierz Bryc; Wlodzimierz Smolenski

Publisher: Elsevier Science
Year: 1992
Tongue: English
Weight: 339 KB
Volume: 15
Category: Article
ISSN: 0167-7152
DOI: 10.1016/0167-7152(92)90283-b

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## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors