Modelling dynamic portfolio risk using risk drivers of elliptical processes
Year of publication: |
2009
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Authors: | Schmidt, Rafael ; Schmieder, Christian |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 44.2009, 2, p. 229-244
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Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Kreditrisiko | Credit risk | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Welt | World |
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