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coherent measures of risk
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heavy-tail distributions
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Proper Conditioning for Coherent VaR in Portfolio Management
Garcia, René
;
Renault, Éric
;
Tsafack, Georges
- In:
Management Science
53
(
2007
)
3
,
pp. 483-494
conditioning information may restore VaR rationale for
decentralized
risk
management
. The argument is threefold. First, since …
Persistent link: https://www.econbiz.de/10009214936
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