Analytical VaR and expected shortfall for quadratic portfolios
Meng-Lan Yueh and Mark C. W. Wong
| Year of publication: |
2010
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|---|---|
| Authors: | Yueh, Meng-lan ; Wong, Mark C. W. |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 17.2009/10, 3, p. 33-44
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| Subject: | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Maßzahl | Statistical measures |
| 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/10003961016