Download This PaperContour Map of Estimation Error for Expected Shortfall
5 Pages Posted: 23 Feb 2015
Date Written: February 20, 2015
Abstract
The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given confidence level and a given estimation error.
Keywords: Expected Shortfall, optimization, estimation error
JEL Classification: C13, C61, G11
Suggested Citation: Suggested Citation
Kondor, Imre and Caccioli, Fabio and Papp, Gabor and Marsili, Matteo, Contour Map of Estimation Error for Expected Shortfall (February 20, 2015). Available at SSRN: https://ssrn.com/abstract=2567876 or http://dx.doi.org/10.2139/ssrn.2567876
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