Tail variance of portfolio under generalized Laplace distribution (Q1731080)
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scientific article; zbMATH DE number 7039700
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail variance of portfolio under generalized Laplace distribution |
scientific article; zbMATH DE number 7039700 |
Statements
Tail variance of portfolio under generalized Laplace distribution (English)
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20 March 2019
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portfolio
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risk measure
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tail variance
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conditional value-at-risk
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generalized Laplace distribution
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