Comparing the riskiness of dependent portfolios via nested L-statistics
Ranadeera G.M. Samanthi, Wei Wei, Vytaras Brazauskas
| Year of publication: |
2017
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|---|---|
| Authors: | Samanthi, Ranadeera G.M. ; Wei, Wei ; Brazauskas, Vytaras |
| Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press., ISSN 1748-4995, ZDB-ID 2213370-7. - Vol. 11.2017, 2, p. 213-236
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| Subject: | Copulas | Dependent risks | Risk measures | Simulation | Statistical tests | Risikomaß | Risk measure | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Messung | Measurement | Theorie | Theory | Risikomanagement | Risk management | Monte-Carlo-Simulation | Monte Carlo simulation | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499516000233 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011820567