Using a connection between the rearrangement algorithm introduced in Puccetti and Rüschendorf (2012) and convex order, we show how to compute the best-possible expected shortfall for the sum of d random variables having fixed marginal distributions.
Sharp bounds on the expected shortfall for a sum of dependent random variables / Giovanni Puccetti. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 83:(2013), pp. 1227-1232. [10.1016/j.spl.2013.01.022]
Sharp bounds on the expected shortfall for a sum of dependent random variables
PUCCETTI, GIOVANNI
2013
Abstract
Using a connection between the rearrangement algorithm introduced in Puccetti and Rüschendorf (2012) and convex order, we show how to compute the best-possible expected shortfall for the sum of d random variables having fixed marginal distributions.
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