Robust multivairiate extreme value at risk allocation
A. Belhajjam, M. Belbachir, S. El Ouardirhi
Year of publication: |
November 2017
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Authors: | Belhajjam, Abdellah ; Belbachir, Mohammadine ; El Ouardirhi, Saad |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 23.2017, p. 1-11
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Subject: | Extreme value theory | Value at risk | Worst-case value at risk | Partitioned value at risk | Markowitz approach | Multivariate extreme value | Theorie | Theory | Risikomaß | Risk measure | Ausreißer | Outliers | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risiko | Risk |
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