The Skew Normal multivariate risk measurement framework
Year of publication: |
2020
|
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Authors: | Bernardi, Mauro ; Cerqueti, Roy ; Palestini, Arsen |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 17.2020, 1, p. 105-119
|
Subject: | Conditional risk measures | Skew Normal distribution | Value-at-risk | Expected shortfall | Statistische Verteilung | Statistical distribution | Messung | Measurement | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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