Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Paresh Date and Roberto Bustreo (Department of Mathematical Sciences, Brunei University, Uxbridge, UK)
| Year of publication: |
April 2016
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|---|---|
| Authors: | Date, Paresh ; Bustreo, Roberto |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 2, p. 157-180
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| Subject: | value-at-risk | conditional value-at-risk | fat-tailed distributions | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risiko | Risk | Theorie | Theory | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Wahrscheinlichkeitsrechnung | Probability theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpu015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011567011