A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions
| Year of publication: |
2008
|
|---|---|
| Authors: | Nagahara, Yuichi |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 15.2008, 3, p. 175-184
|
| Publisher: |
Springer |
| Subject: | Historical simulation | Value at risk | Pearson distribution system | Skewness and kurtosis |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727093