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Risk management with weighted VaR - MaRDI portal

Risk management with weighted VaR (Q4962462)

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scientific article; zbMATH DE number 6971519
Language Label Description Also known as
English
Risk management with weighted VaR
scientific article; zbMATH DE number 6971519

    Statements

    title
    Risk management with weighted VaR (English)
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    author
    Pengyu Wei
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    publication date
    2 November 2018
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    zbMATH Keywords
    expected shortfall
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    portfolio insurance
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    portfolio selection
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    regulatory capital arbitrage
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    risk measure
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    value-at-risk
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    weighted value-at-risk
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    Identifiers

    zbMATH DE Number
    6971519
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    OpenAlex ID
    W2613449725
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    DOI
    10.1111/MAFI.12160
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