Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (Q4647593): Difference between revisions
From MaRDI portal
Latest revision as of 21:55, 17 July 2024
scientific article; zbMATH DE number 7002099
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions |
scientific article; zbMATH DE number 7002099 |
Statements
Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (English)
0 references
15 January 2019
0 references
value-at-risk-efficient portfolios
0 references
assets return distributions
0 references
Weibull distribution
0 references
Gaussian copulas
0 references
0 references
0 references
0 references
0 references
