Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (Q4559325)
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scientific article; zbMATH DE number 6987641
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence |
scientific article; zbMATH DE number 6987641 |
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Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (English)
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3 December 2018
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aggregation of risk
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capital allocation
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copula
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dependence
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portfolio selection
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Smolyak integration
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sums of random variables
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