Shrunk Volatility VaR : An Application on US Balanced Portfolios
Year of publication: |
2017
|
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Authors: | Colucci, Stefano |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | USA | United States | Risikomaß | Risk measure | Theorie | Theory |
Extent: | 1 Online-Ressource (42 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 10, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2896840 [DOI] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G22 - Insurance; Insurance Companies ; G23 - Pension Funds; Other Private Financial Institutions |
Source: | ECONIS - Online Catalogue of the ZBW |
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