The Expected Shortfall of quadratic portfolios with heavy-tailed risk factors
Year of publication: |
2012
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Authors: | Broda, Simon A. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 22.2012, 4, p. 710-728
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Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
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