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VaR-implied tail-correlation matrices - MaRDI portal

VaR-implied tail-correlation matrices (Q2016009)

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scientific article; zbMATH DE number 6305225
Language Label Description Also known as
English
VaR-implied tail-correlation matrices
scientific article; zbMATH DE number 6305225

    Statements

    title
    VaR-implied tail-correlation matrices (English)
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    publication date
    18 June 2014
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    zbMATH Keywords
    downside risk
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    estimation efficiency
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    portfolio optimization
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    positive semidefiniteness
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    Solvency II
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    value-at-risk
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    author
    Stefan Mittnik
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62P05
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    91G10
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    zbMATH DE Number
    6305225
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    OpenAlex ID
    W2144994749
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