Tail VaR Measures in a Multi-period Setting
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Publication:4586032
DOI10.1080/1350486X.2013.851449zbMath1395.91512MaRDI QIDQ4586032
Yuta Katsuki, Koichi Matsumoto
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Related Items (2)
A new coherent multivariate average-value-at-risk ⋮ Multivariate tail conditional expectation for elliptical distributions
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