Diversification limit of quantiles under dependence uncertainty
DOI10.1007/S10687-016-0245-5zbMATH Open1397.60059OpenAlexW3122171926MaRDI QIDQ291398FDOQ291398
Ruodu Wang, Tiantian Mao, Valeria Bignozzi, Bin Wang
Publication date: 7 June 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-016-0245-5
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Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Distribution theory (60E99)
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