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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009517631