PRINCIPAL COMPONENT VALUE AT RISK

DOI10.1142/S0219024900000528zbMATH Open0981.91039MaRDI QIDQ4522656FDOQ4522656

Antonio Córdoba, L. Seco, R. G. M. Brummelhuis, Maite Quintanilla

Publication date: 17 April 2001

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfoliovalue-at-risk

Mathematics Subject Classification ID

Cited In (1)

• Principal Component Value at Risk

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