Pages that link to "Item:Q5696292"
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The following pages link to VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (Q5696292):
Displaying 18 items.
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430) (← links)
- On directional multiple-output quantile regression (Q618143) (← links)
- Sharp estimates for the CDF of quadratic forms of MPE random vectors (Q979230) (← links)
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (Q1023678) (← links)
- Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
- Chance-constrained games with mixture distributions (Q2238757) (← links)
- Gram-Charlier-like expansions of the convoluted hyperbolic-secant density (Q2301231) (← links)
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios (Q2401246) (← links)
- Estimation methods for expected shortfall (Q2879025) (← links)
- VaR and expected shortfall: a non-normal regime switching framework (Q3182749) (← links)
- A generalized Fourier transform approach to risk measures (Q3301115) (← links)
- THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS (Q4919617) (← links)
- Computation of expected shortfall by fast detection of worst scenarios (Q5014243) (← links)
- ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs (Q5060524) (← links)
- Sharing the value‐at‐risk under distributional ambiguity (Q6054142) (← links)
- Modeling and simulation of financial returns under non-Gaussian distributions (Q6156468) (← links)
- Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model (Q6547039) (← links)
