Measuring portfolio value-at-risk by a Copula-Evt based approach
by Annalisa Di Clemente; Claudio Romano
| Year of publication: |
2005
|
|---|---|
| Authors: | Di Clemente, Annalisa ; Romano, Claudio |
| Published in: |
Studi economici : rivista quadrimestrale. - Napoli : Fac., ISSN 0039-2928, ZDB-ID 428979-1. - Vol. 60.2005, 1, p. 29-57
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
| 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/10003795532