Shrunk volatility value-at-risk : an application on US balanced portfolios
Year of publication: |
June 2018
|
---|---|
Authors: | Colucci, Stefano |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 2, p. 1-62
|
Subject: | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | USA | United States |
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