Second-order properties of risk concentrations without the condition of asymptotic smoothness (Q2443885)
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scientific article; zbMATH DE number 6281319
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| English | Second-order properties of risk concentrations without the condition of asymptotic smoothness |
scientific article; zbMATH DE number 6281319 |
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Second-order properties of risk concentrations without the condition of asymptotic smoothness (English)
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8 April 2014
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asymptotic smoothness
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conditional tail expectation
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diversification benefit
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regular variation
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second-order approximation
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second-order regular variation
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value-at-risk
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0.9120032
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0.90385056
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0.8958459
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0.8871519
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0.88384354
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0.8798717
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0.8794289
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0.87662387
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