THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS (Q4919617)
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scientific article; zbMATH DE number 6163073
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS |
scientific article; zbMATH DE number 6163073 |
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THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS (English)
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14 May 2013
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expected shortfall
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value at risk
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delta-gamma-theta approximation
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transform inversion
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multivariate \(t\) distribution
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saddlepoint approximation
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