Diversification quotients based on VaR and ES (Q6152692)
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scientific article; zbMATH DE number 7804006
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diversification quotients based on VaR and ES |
scientific article; zbMATH DE number 7804006 |
Statements
Diversification quotients based on VaR and ES (English)
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13 February 2024
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value-at-risk
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expected shortfall
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diversification quotient
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elliptical models
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regular varying models
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