VaR bounds for joint portfolios with dependence constraints (Q727669)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6666940
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | VaR bounds for joint portfolios with dependence constraints |
scientific article; zbMATH DE number 6666940 |
Statements
VaR bounds for joint portfolios with dependence constraints (English)
0 references
20 December 2016
0 references
value-at-risk
0 references
dependence uncertainty
0 references
positive dependence
0 references
model risk
0 references
0 references
0 references
0 references
0 references
0.8707922697067261
0 references
0.8547662496566772
0 references
0.8493872880935669
0 references
0.8404685854911804
0 references
0.8361164331436157
0 references
