Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

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Publication:4795995

DOI10.1111/1467-9965.00141zbMath1147.91325OpenAlexW3125310193MaRDI QIDQ4795995

Paul Glasserman, Perwez Shahabuddin, Philip Heidelberger

Publication date: 13 March 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00141



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