Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Jules Sadefo Kamdem
| Year of publication: |
2005
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|---|---|
| Authors: | Kamdem, Jules Sadefo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 8.2005, 5, p. 537-551
|
| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Literaturverz. S. 551 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003058599