A multivariate CVaR risk measure from the perspective of portfolio risk management
Jun Cai, Huameng Jia and Tiantian Mao
| Year of publication: |
2022
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|---|---|
| Authors: | Cai, Jun ; Jia, Huameng ; Mao, Tiantian |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 3, p. 189-215
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| Subject: | aggregate risk | CVaR | multivariate risk measure | risk portfolio | VaR | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Theorie | Theory | Multivariate Analyse | Multivariate analysis | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2021.1944905 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013370495