VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Jules Sadefo Kamdem
| Year of publication: |
2012
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|---|---|
| Authors: | Kamdem, Jules Sadefo |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 8.2012, 1, p. 123-150
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| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risiko | Risk | VAR-Modell | VAR model |
| 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/10009510573