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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 ...
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Description: This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation study, and considers an example involving the comparison of risk measure values where the risks of interest are those associated with tornado damage in different time periods and different regions. From the Actuarial Research Clearing House, 2008, Vol.1.
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- 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

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A Nonparametric Test for Comparing the Riskiness of Portfolios