Portfolio diversification and value at risk under thick-tailedness† (Q3645198): Difference between revisions

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Property / author: Rustam Ibragimov / rank
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Latest revision as of 05:06, 2 July 2024

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Portfolio diversification and value at risk under thick-tailedness†
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    Portfolio diversification and value at risk under thick-tailedness† (English)
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    16 November 2009
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    value at risk
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    heavy-tailed risks
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    portfolios
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    riskiness
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    diversification
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    risk bounds
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    coherent measures of risk
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