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arXiv · 2406.18180

Derivative Preserving Conditions in Conditional Expectation Operator

Battulga Gankhuu
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Abstract

In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduces higher order derivatives of the Expected Shortfall for a generic nonlinear portfolio loss random variable.

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Battulga Gankhuu. 2024-06-26. Derivative Preserving Conditions in Conditional Expectation Operator. https://arxiv.org/abs/2406.18180

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