Diversification quotients based on VaR and ES (Q6152692)

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scientific article; zbMATH DE number 7804006
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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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