Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (Q2393347)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity of portfolio VaR and CVaR to portfolio return characteristics |
scientific article |
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (English)
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7 August 2013
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value-at-risk
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conditional value-at-risk
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student's \(t\) distribution
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stable distributions
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marginal rebalancing
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