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accurate closed-form expression
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elliptical distributions
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expected shortfall
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mixtures of elliptical distributions
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multivariate Student t distribution
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Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Dobrev, Dobrislav
;
Nesmith, Travis D.
;
Oh, Dong Hwan
- In:
Journal of Risk and Financial Management
10
(
2017
)
1
,
pp. 1-14
We provide an
accurate
closed-form
expression
for the expected shortfall of linear portfolios with elliptically …
Persistent link: https://www.econbiz.de/10011843283
Saved in:
2
Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Dobrev, Dobrislav
;
Nesmith, Travis D.
;
Oh, Dong Hwan
- In:
Journal of risk and financial management : JRFM
10
(
2017
)
1
,
pp. 1-14
We provide an
accurate
closed-form
expression
for the expected shortfall of linear portfolios with elliptically …
Persistent link: https://www.econbiz.de/10011619035
Saved in:
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