Remarks on a copula-based conditional value at risk for the portfolio problem
Year of publication: |
2023
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Authors: | Molina Barreto, Andres Mauricio ; Ishimura, Naoyuki |
Published in: |
Intelligent systems in accounting, finance & management. - New York, NY [u.a.] : Wiley, ISSN 2160-0074, ZDB-ID 2379344-2. - Vol. 30.2023, 3, p. 150-170
|
Subject: | conditional value at risk | copula | portfolio problem | risk measure | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Messung | Measurement | Risiko | Risk |
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