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~person:"Zhu, Wenhao"
~subject:"Value-at-Risk"
~subject:"copula"
~subject:"tail concave order"
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Value-at-Risk
copula
tail concave order
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Zhu, Wenhao
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Asymptotic subadditivity/superadditivity of Value-at-Risk under
tail
dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
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