Bregman superquantiles. Estimation methods and applications
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References listed on IDEAS
- Len Umantsev & Victor Chernozhukov, 2001. "Conditional value-at-risk: Aspects of modeling and estimation," Empirical Economics, Springer, vol. 26(1), pages 271-292.
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Cited by:
- Manon Costa & Sébastien Gadat, 2021. "Non-asymptotic study of a recursive superquantile estimation algorithm," Post-Print hal-03610477, HAL.
- Gadat, Sébastien & Costa, Manon, 2020. "Non asymptotic controls on a stochastic algorithm for superquantile approximation," TSE Working Papers 20-1149, Toulouse School of Economics (TSE).
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This paper has been announced in the following NEP Reports:- NEP-RMG-2014-06-07 (Risk Management)
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