Multivariate geometric tail- and range-value-at-risk
by Klaus Herrmann, Marius Hofert and Mélina Mailhot
| Year of publication: |
2020
|
|---|---|
| Authors: | Herrmann, Klaus ; Hofert, Marius ; Mailhot, Mélina |
| Subject: | Multivariate risk measures | tail-value-at-risk | range-value-at-risk | geometric quantiles | dependence | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2019.31 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194132