Estimation of Conditional Value-at-Risk in Linear Model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00598425" target="_blank" >RIV/67985556:_____/24:00598425 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/24:00598425 RIV/46747885:24510/24:00012458
Result on the web
<a href="https://link.springer.com/chapter/10.1007/978-3-031-65993-5_24" target="_blank" >https://link.springer.com/chapter/10.1007/978-3-031-65993-5_24</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-031-65993-5_24" target="_blank" >10.1007/978-3-031-65993-5_24</a>

Result language
angličtina
Original language name
Estimation of Conditional Value-at-Risk in Linear Model
Original language description
The conditional value-at-risk (CVaR) represents a popular risk measure often exploited e.g. within portfolio optimization. The situation with a nuisance linear regression is considered here, in other words, we do not observe directly the loss Z of interest, but only Y=beta _0+Xbeta+Z, where the covariates are not under our control. We propose a novel estimator of CVaR(Z) based on the averaged two-step regression quantile combined with an R-estimate of regression parameters.
Czech name
—
Czech description
—

Project
<a href="/en/project/GA22-03636S" target="_blank" >GA22-03636S: Aggregation of Methodologies Based on Economic Data</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Combining, Modelling and Analyzing Imprecision, Randomness and Dependence
ISBN
978-3-031-65992-8
ISSN
2194-5357
e-ISSN
—
Number of pages
8
Pages from-to
200-207
Publisher name
Springer
Place of publication
Cham
Event location
Salzburg
Event date
Sep 3, 2024
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
001323540900024

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