Publication:3003679
From MaRDI portal
zbMath1222.60018MaRDI QIDQ3003679
Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev, Young Shin S. Kim
Publication date: 30 May 2011
Full work available at URL: http://www.math.uni.wroc.pl/~pms/files/30.2/Abstract/30.2.4.abs.pdf
60E07: Infinitely divisible distributions; stable distributions
91G10: Portfolio theory
91G40: Credit risk
Related Items
Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes, Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model, Periodic portfolio revision with transaction costs