A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (Q2665869)
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scientific article; zbMATH DE number 7431001
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| English | A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures |
scientific article; zbMATH DE number 7431001 |
Statements
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (English)
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19 November 2021
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tail conditional expectation
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generalised hyper-elliptical (GHE) distributions
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conditional tail risk measures
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generalised inverse Gaussian distribution
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portfolio allocation
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0.8569779396057129
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0.8557437062263489
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0.7974960803985596
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0.7968711256980896
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0.7872276306152344
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