Pages that link to "Item:Q3645198"

The following pages link to Portfolio diversification and value at risk under thick-tailedness† (Q3645198):

Displaying 19 items.

• Simulating and calibrating diversification against black swans (Q310955) (← links)
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
• Editorial: Latest developments on heavy-tailed distributions (Q528131) (← links)
• Fat tails, VaR and subadditivity (Q528149) (← links)
• Peakedness for weighted sums of symmetric random variables (Q629102) (← links)
• Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks (Q635960) (← links)
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
• Heavy tails and copulas: limits of diversification revisited (Q1668647) (← links)
• Naive versus optimal diversification: tail risk and performance (Q1681368) (← links)
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects (Q2274222) (← links)
• Risk concentration of aggregated dependent risks: the second-order properties (Q2427818) (← links)
• On the robustness of location estimators in models of firm growth under heavy-tailedness (Q2451782) (← links)
• On the Measurement of Economic Tail Risk (Q3178757) (← links)
• Risk in a Large Claims Insurance Market with Bipartite Graph Structure (Q3178764) (← links)
• Conditional risk measures in a bipartite market structure (Q4583596) (← links)
• DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS (Q5019038) (← links)
• Capital Requirements for Cyber Risk and Cyber Risk Insurance: An Analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test (Q5140094) (← links)
• Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)
• Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence (Q6146694) (← links)