𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the worst conditional expectation

✍ Scribed by Akihiko Inoue

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
190 KB
Volume
286
Category
Article
ISSN
0022-247X

No coin nor oath required. For personal study only.

✦ Synopsis

worst conditional expectations. We show some representation theorems for them, extending the results of Artzner, Delbaen, Eber, Heath, and Kusuoka.

πŸ“œ SIMILAR VOLUMES

On the conditional expectation of observ
On the conditional expectation of observables in MV algebras of fuzzy sets
✍ Beloslav Riečan πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 268 KB

A quantum mechanical model is considered based on an MV algebra of fuzzy sets. The conditional expectation is studied of an observable with respect to another one. The main result is a variant of the martingale convergence theorem.

On abstract conditional expectations
On abstract conditional expectations
✍ Nikolaos S Papageorgiou πŸ“‚ Article πŸ“… 1985 πŸ› Elsevier Science 🌐 English βš– 623 KB
On estimating the conditional expected s
On estimating the conditional expected shortfall
✍ Franco Peracchi; Andrei V. Tanase πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 492 KB

## 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