Tail Conditional Expectation for vector-valued Risks

In his paper we introduce a quantile-based risk measure for multivariate financial positions: the vector-valued Tail-conditional-expectation (T CE). We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios when one accounts for frictions in the financial market...

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Authors:	Bentahar, Imen
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Risikomanagement \| risk management \| Multivariate Analyse

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Extent:	661504 bytes 34 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-029
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005854710