VaR-implied tail-correlation matrices
Year of publication: |
2014
|
---|---|
Authors: | Mittnik, Stefan |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 122.2014, 1, p. 69-73
|
Subject: | Downside risk | Estimation efficiency | Portfolio optimization | Positive semidefiniteness | Solvency II | Value-at-Risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätzung | Estimation |
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