VaR bounds for joint portfolios with dependence constraints (Q727669)

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VaR bounds for joint portfolios with dependence constraints
scientific article

    Statements

    title
    VaR bounds for joint portfolios with dependence constraints (English)
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    author
    Giovanni Puccetti
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    Ludger Rüschendorf
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    Dennis Manko
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    publication date
    20 December 2016
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    zbMATH Keywords
    value-at-risk
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    dependence uncertainty
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    positive dependence
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    model risk
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    cites work
    Q5654812
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    Q5249350
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    Q5253267
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62P05
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    60E15
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    zbMATH DE Number
    6666940
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    OpenAlex ID
    W3122101447
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