r - Expected shortfall of stable distribution by Stoyanov - Quantitative Finance Stack Exchange
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SOLVED: An explicit formula for ES: Show that, assuming the annual PnL (payoff) of a portfolio follows a normal distribution with mean μ and variance σ^2, then the 1-year 100(1-α)% confidence Expected
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Normally distributed VaR, expected shortfall, and τ for different... | Download Table