Tail variance of portfolio under generalized Laplace distribution (Q1731080): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.amc.2016.02.005 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2292956613 / rank | |||
Normal rank | |||
Revision as of 17:42, 21 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail variance of portfolio under generalized Laplace distribution |
scientific article |
Statements
Tail variance of portfolio under generalized Laplace distribution (English)
0 references
20 March 2019
0 references
portfolio
0 references
risk measure
0 references
tail variance
0 references
conditional value-at-risk
0 references
generalized Laplace distribution
0 references
