Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

J. Sadefo Kamdem

Year of publication:	2009
Authors:	Kamdem, J. Sadefo
Published in:	Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 44.2009, 3, p. 325-336
Subject:	Portfolio-Management \| Portfolio selection \| Statistische Verteilung \| Statistical distribution \| Theorie \| Theory \| Risikomaß \| Risk measure \| Risiko \| Risk \| Kapitaleinkommen \| Capital income

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