Pages that link to "Item:Q1023092"
From MaRDI portal
The following pages link to \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092):
Displaying 4 items.
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430) (← links)
- Sharp estimates for the CDF of quadratic forms of MPE random vectors (Q979230) (← links)
- Dynamic portfolio optimization under multi-factor model in stochastic markets (Q1929951) (← links)
- Chance-constrained games with mixture distributions (Q2238757) (← links)