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A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
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Multivariate stochastic dominance applied to sector-based portfolio selection
Kouaissah, Noureddine; Ortobelli Lozza, Sergio - In: IMA journal of management mathematics 32 (2021) 2, pp. 139-160
Persistent link: https://www.econbiz.de/10012434397
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Tail conditional moments for elliptical and log-elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 71 (2016), pp. 179-188
Persistent link: https://www.econbiz.de/10011630646
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Multivariate tail conditional expectation for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223
Persistent link: https://www.econbiz.de/10011597276
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Modelling random vectors of dependent risks with different elliptical components
Landsman, Zinoviy; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 6-24
Persistent link: https://www.econbiz.de/10013187281