Pages that link to "Item:Q3116094"

The following pages link to Proper Conditioning for Coherent VaR in Portfolio Management (Q3116094):

Displaying 13 items.

• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
• Editorial: Latest developments on heavy-tailed distributions (Q528131) (← links)
• Fat tails, VaR and subadditivity (Q528149) (← links)
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
• Heavy tails and copulas: limits of diversification revisited (Q1668647) (← links)
• Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios (Q1751938) (← links)
• A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost (Q2315847) (← links)
• Risk analysis with contractual default. Does covenant breach matter? (Q2355962) (← links)
• On the Measurement of Economic Tail Risk (Q3178757) (← links)
• Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure (Q5079025) (← links)
• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088093) (← links)
• On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088126) (← links)
• Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)