Heavy tails and copulas : limits of diversification revisited
Rustam Ibragimov, Artem Prokhorov
| Year of publication: |
December 2016
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|---|---|
| Authors: | Ibragimov, Rustam Ju. ; Prokhorov, Artem |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 149.2016, p. 102-107
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| Subject: | Value at risk | Diversification | Power law | Power-type copulas | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Diversifikation | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.10.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011620157