Computational aspects of portfolio risk estimation in volatile markets: a survey (Q5881677)
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scientific article; zbMATH DE number 7662299
| Language | Label | Description | Also known as |
|---|---|---|---|
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| English | Computational aspects of portfolio risk estimation in volatile markets: a survey |
scientific article; zbMATH DE number 7662299 |
Statements
Computational aspects of portfolio risk estimation in volatile markets: a survey (English)
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13 March 2023
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conditional value at risk
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value at risk
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copula
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fat-tailed models
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Monte Carlo
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0.8495215773582458
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0.8021384477615356
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0.7472954392433167
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0.7435911297798157
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