Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
Year of publication: |
2009
|
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Authors: | Kamdem, J. Sadefo |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 44.2009, 3, p. 325-336
|
Subject: | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Theorie | Theory |
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