Multivariate tail conditional expectation for elliptical distributions (Q2520449): Difference between revisions

@@ Property / author @@
+Zinoviy Landsman
@@ Property / author: Zinoviy Landsman / rank @@
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+Udi E. Makov
@@ Property / author: Udi E. Makov / rank @@
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+QRM
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+MaRDI publication profile
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+https://doi.org/10.1016/j.insmatheco.2016.05.017
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+W2423790469
@@ Property / OpenAlex ID: W2423790469 / rank @@
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+On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
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+Tail Conditional Expectations for Elliptical Distributions
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+Wang's capital allocation formula for elliptically contoured distributions.
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+A Black–Litterman asset allocation model under Elliptical distributions
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