Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
Year of publication: |
2017
|
---|---|
Authors: | Dobrev, Dobrislav |
Other Persons: | Nesmith, Travis D. (contributor) ; Oh, Dong Hwan (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (17 p) |
---|---|
Series: | FEDS Working Paper ; No. 2016-065 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2016 erstellt |
Classification: | c46 ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Dobrev, Dobrislav, (2017)
-
Conditional Value at Risk and Partial Moments for the Metalog Distributions
Khokhlov, Valentyn, (2021)
-
Systematic Risk Under Extremely Adverse Market Conditions
van Oordt, Maarten R.C., (2012)
- More ...
-
Dobrev, Dobrislav, (2017)
-
Dobrev, Dobrislav, (2016)
-
Dobrev, Dobrislav, (2017)
- More ...