A new coherent multivariate average-value-at-risk (Q5880387)
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scientific article; zbMATH DE number 7661009
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A new coherent multivariate average-value-at-risk |
scientific article; zbMATH DE number 7661009 |
Statements
A new coherent multivariate average-value-at-risk (English)
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9 March 2023
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financial risk management
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multivariate coherent risk measures
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average-value-at-risk
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0.8094746470451355
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0.8083693981170654
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0.8031017780303955
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0.8010357618331909
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0.799314022064209
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