A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (Q2665869)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures |
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A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (English)
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19 November 2021
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tail conditional expectation
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generalised hyper-elliptical (GHE) distributions
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conditional tail risk measures
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generalised inverse Gaussian distribution
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portfolio allocation
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