Multidimensional Coherent and Convex Risk Measures (Q3605049)
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scientific article; zbMATH DE number 5509550
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Multidimensional Coherent and Convex Risk Measures |
scientific article; zbMATH DE number 5509550 |
Statements
Multidimensional Coherent and Convex Risk Measures (English)
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19 February 2009
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multidimensional coherent and convex risk measures
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matrix of currency exchange rates
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cone of currency exchange rates
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tail V{\@}R
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weighted V{\@}R
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capital allocation
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risk contribution
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extreme elements
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0.8541856408119202
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0.8461881279945374
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0.8327136635780334
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0.8258040547370911
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0.8253493905067444
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