Sharp asymptotics for large portfolio losses under extreme risks
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Publication:666988
DOI10.1016/j.ejor.2019.01.025zbMath1431.91370OpenAlexW2910620545WikidataQ128580541 ScholiaQ128580541MaRDI QIDQ666988
Zhaofeng Tang, Yang Yang, Qi-he Tang
Publication date: 12 March 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2019.01.025
Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Uses Software
Cites Work
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