VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Year of publication: |
2012
|
---|---|
Authors: | Kamdem, Jules Sadefo |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 8.2012, 1, p. 123-150
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | VAR-Modell | VAR model |
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