A concept of copula robustness and its applications in quantitative risk management
Henryk Zähle
| Year of publication: |
2022
|
|---|---|
| Authors: | Zähle, Henryk |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 825-875
|
| Subject: | \(L^{p}\)-weak topology | Copula | Fréchet class | Portfolio optimisation | Risk measure | Risikomanagement | Risk management | Risikomaß | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Messung | Measurement | Statistische Verteilung | Statistical distribution | Robustes Verfahren | Robust statistics |
freely available