The optimal portfolio under VaR and ES
Year of publication: |
2014
|
---|---|
Authors: | Gurgul, Henryk ; Machno, Artur |
Published in: |
Operations Research and Decisions. - Wydział Informatyki i Zarządzania. - Vol. 2.2014, p. 59-79
|
Publisher: |
Wydział Informatyki i Zarządzania |
Subject: | Value at Risk | Expected Shortfall | interdependency | regime switching copulas | vine copulas |
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