CU Boulder News & Events

Probabilistic Outcomes Are Valued Less in Expectation, Even Conditional on Their Realization

Paolacci, Gabriele; André, Quentin. Probabilistic Outcomes Are Valued Less in Expectation, Even Conditional on Their Realization. Management Science. Nov2024, Vol. 70 Issue 11, p7524-7536. Most ...
CU Boulder News & Events

Probabilistic Outcomes Are Valued Less in Expectation, Even Conditional on Their Realization

Paolacci, Gabriele; André, Quentin. Probabilistic Outcomes Are Valued Less in Expectation, Even Conditional on Their Realization. Management Science. Nov2024, Vol. 70 Issue 11, p7524-7536. Most ...
JSTOR Daily

NON-PARAMETRIC ESTIMATION OF CONDITIONAL TAIL EXPECTATION FOR LONG-HORIZON RETURNS

When evaluating the tail risk of stock portfolio returns, providing statistically sound solutions for long return horizons is important, but difficult. Furthermore, there are drawbacks to using ...