Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
A. Mbairadjim Moussa; J. Sadefo Kamdem; M. Terraza
| Year of publication: |
2014
|
|---|---|
| Authors: | Moussa, A. Mbairadjim ; Kamdem, J. Sadefo ; Terraza, Michel |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 39.2014, p. 247-256
|
| Subject: | Risk management | Value-at-risk | Expected shortfall | Fuzzy random variables | Heavy-tailed distributions | Risikomaß | Risk measure | Risikomanagement | Fuzzy-Set-Theorie | Fuzzy sets | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| 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/10010421851