Zobrazeno 1 - 1
of 1
pro vyhledávání: '"portfolio safeguard package"'
Autor:
Viktor Kuzmenko
Publikováno v:
Кібернетика та комп'ютерні технології, Iss 3, Pp 43-58 (2020)
Introduction. This paper considers a risk measure called expectile. Expectile is a characteristic of a random variable calculated using the asymmetric least square method. The level of asymmetry is defined by a parameter in the interval (0, 1). Expec
Externí odkaz:
https://doaj.org/article/97c80e5f26204cf1ab828670c90b9b4c
