Capital allocation and risk contribution with discrete-time coherent risk
Year of publication: |
2009
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Authors: | Cherny, Alexander S. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 19.2009, 1, p. 13-40
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Subject: | Kapital | Capital | Allokation | Allocation | Risiko | Risk | Maßzahl | Statistical measures | VAR-Modell | VAR model | Theorie | Theory |
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