Efficient estimation of large portfolio loss probabilities in t-copula models
Joshua C. C. Chan; Dirk P. Kroese
| Year of publication: |
2010
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|---|---|
| Authors: | Chan, Joshua C. C. ; Kroese, Dirk P. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 205.2010, 2 (2.9.), p. 361-367
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| Subject: | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Insolvenz | Insolvency |
| 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/10003961239