Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (Q2393347)
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scientific article; zbMATH DE number 6196259
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| English | Sensitivity of portfolio VaR and CVaR to portfolio return characteristics |
scientific article; zbMATH DE number 6196259 |
Statements
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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0.89374846
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0.88135785
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0.8626608
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0.8490858
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0.84752584
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0.8438056
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