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A Nonparametric Test for Comparing the Riskiness of Portfolios
A Nonparametric Test for Comparing the Riskiness of Portfolios This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation ...- Authors: Vytaras Brazauskas
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods