Estimation of portfolio return and value at risk using a class of Gaussian mixture distributions
Kangrong Tan; Meifen Chu
| Year of publication: |
2012
|
|---|---|
| Authors: | Tan, Kangrong ; Chu, Meifen |
| Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 6.2012, 2, p. 97-107
|
| Subject: | Gaussian mixture distribution | convolution density | portfolio | Value at Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation |
| 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/10009389668