Multivariate Downside Risk : Normal Versus Variance Gamma
Year of publication: |
2010
|
---|---|
Authors: | Wallmeier, Martin |
Other Persons: | Diethelm, Martin (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Risiko | Risk | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (20 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 22, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1594267 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Multivariate downside risk : normal versus variance Gamma
Wallmeier, Martin, (2012)
-
Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro, (2017)
-
A Long Run Risks Model of Asset Pricing with Fat Tails
Wang, Zhiguang, (2011)
- More ...
-
Wallmeier, Martin, (2009)
-
Wallmeier, Martin, (2019)
-
Multivariate downside risk : normal versus variance Gamma
Wallmeier, Martin, (2012)
- More ...