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
VaR-implied tail-correlation matrices (English)
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18 June 2014
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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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