Dobrev, Dobrislav
, Nesmith, Travis D. (Travis Dean)
and Oh, Dong Hwan, 1980-. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors, 2016-065,"
Finance and Economics Discussion Series
(Revised February 2017).
https://fraser.stlouisfed.org/title/1491/item/723855, accessed on May 12, 2026.