Multivariate tail conditional expectation for elliptical distributions
Zinoviy Landsman, Udi Makov, Tomer Shushi
| Year of publication: |
September 2016
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|---|---|
| Authors: | Landsman, Zinoviy ; Makov, Udi ; Shushi, Tomer |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 216-223
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| Subject: | Elliptical distributions | Multivariate risk measures | Tail conditional expectation | Cumulative generator | Semi-subadditivity | Positive homogeneity | Statistische Verteilung | Statistical distribution | Theorie | Theory | Erwartungsbildung | Expectation formation | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597276