Diversification limit of quantiles under dependence uncertainty (Q291398)
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scientific article; zbMATH DE number 6589918
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| English | Diversification limit of quantiles under dependence uncertainty |
scientific article; zbMATH DE number 6589918 |
Statements
Diversification limit of quantiles under dependence uncertainty (English)
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7 June 2016
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value-at-risk
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diversification ratio
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extreme value analysis
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asymptotics
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dependence uncertainty
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0.8223227858543396
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0.8078970313072205
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0.8067325353622437
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0.7927241921424866
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0.7920233607292175
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