The optimal portfolio in respect to Expected Shortfall: a comparative study
Year of publication: |
2013
|
---|---|
Authors: | Gurgul, Henryk ; Machno, Artur ; Syrek, Robert |
Published in: |
Managerial Economics. - Wydział Zarządzania. - Vol. 14.2013, p. 17-38
|
Publisher: |
Wydział Zarządzania |
Subject: | Value at Risk | Expected Shortfall | interdependency | regime switching copulas | risk management |
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