VaR bounds for joint portfolios with dependence constraints (Q727669)
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scientific article; zbMATH DE number 6666940
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| English | VaR bounds for joint portfolios with dependence constraints |
scientific article; zbMATH DE number 6666940 |
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VaR bounds for joint portfolios with dependence constraints (English)
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20 December 2016
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value-at-risk
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dependence uncertainty
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positive dependence
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model risk
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0.8707922697067261
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0.8547662496566772
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0.8493872880935669
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0.8404685854911804
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0.8361164331436157
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