Portfolio value-at-risk with heavy-tailed risk factors
Year of publication: |
2002
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Authors: | Glasserman, Paul ; Heidelberger, Philip ; Shahabuddin, Perwez |
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. 12.2002, 3, p. 239-269
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Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure |
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