Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (Q4647593)
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scientific article; zbMATH DE number 7002099
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| English | Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions |
scientific article; zbMATH DE number 7002099 |
Statements
Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (English)
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15 January 2019
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value-at-risk-efficient portfolios
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assets return distributions
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Weibull distribution
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Gaussian copulas
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0.7877402305603027
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0.7680466175079346
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0.7528532147407532
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0.7514752745628357
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