A multivariate CVaR risk measure from the perspective of portfolio risk management
Year of publication: |
2022
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Authors: | Cai, Jun ; Jia, Huameng ; Mao, Tiantian |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 3, p. 189-215
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Subject: | aggregate risk | CVaR | multivariate risk measure | risk portfolio | VaR | Theorie | Theory | Finanzdienstleistung | Financial services | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Multivariate Analyse | Multivariate analysis | VAR-Modell | VAR model |
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