Tail distortion risk measure for portfolio with multivariate regularly variation (Q2141740)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail distortion risk measure for portfolio with multivariate regularly variation |
scientific article |
Statements
Tail distortion risk measure for portfolio with multivariate regularly variation (English)
0 references
25 May 2022
0 references
background risk model
0 references
tail distortion risk measure
0 references
multivariate regular variation
0 references
