Sensitivity-implied tail-correlation matrices
Joachim Paulusch, Sebastian Schlütter
| Year of publication: |
2022
|
|---|---|
| Authors: | Paulusch, Joachim ; Schlütter, Sebastian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 134.2022, p. 1-15
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| Subject: | Portfolio optimization | Risk aggregation | Tail correlation | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Aggregation | Lineare Algebra | Linear algebra | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106333 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013400104