Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy (Q3175935)
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scientific article; zbMATH DE number 6908075
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| English | Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy |
scientific article; zbMATH DE number 6908075 |
Statements
18 July 2018
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copula
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GARCH
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entropy
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CVaR
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portfolio
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0.8151376247406006
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0.8087450861930847
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0.786462128162384
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0.7834680080413818
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