Estimates the Expected Shortfall (aka. Average Value at Risk or Conditional Value at Risk) using historical estimator approach for the specified confidence level and the holding period implies by data frequency.
Vector corresponding to profit and loss distribution
Number between 0 and 1 corresponding to confidence level
Expected Shortfall of the portfolio
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Foellmer, H. and Scheid, A. Stochastic Finance: An Introduction in Discrete Time. De Gryuter, 2011.
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