Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence (Q6146694)
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scientific article; zbMATH DE number 7797381
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence |
scientific article; zbMATH DE number 7797381 |
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Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence (English)
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31 January 2024
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asymptotic diversification ratio
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asymptotic subadditivity/superadditivity
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copula
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marginal region
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tail concave order
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tail dependence function
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value-at-risk
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