Tail VaR measures in a multi-period setting (Q4586032)
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scientific article; zbMATH DE number 6934894
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Tail VaR measures in a multi-period setting |
scientific article; zbMATH DE number 6934894 |
Statements
Tail VaR Measures in a Multi-period Setting (English)
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11 September 2018
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tail value at risk
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coherent risk measure
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time consistency
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0.9063433408737184
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0.8346518874168396
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0.808998703956604
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0.8020814657211304
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0.7888402938842773
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