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Expected Shortfall风险度量的一致性估计 被引量:1

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摘要 本文主要讨论了ES(Expected Shortfall)风险度量的估计的一致性问题,发现有些估计为一致性估计,有些估计不满足一致性公理中的次可加性。由于风险度量方法是证券组合选择模型的重要部分,因此本文结果对风险管理和投资组合分析有一定的指导意义,同时也启发我们在对风险度量进行估计时,有必要对估计的一致性问题进行相应的分析。
出处 《统计与决策》 CSSCI 北大核心 2007年第14期31-33,共3页 Statistics & Decision
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