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Diversification quotients based on VaR and ES - MaRDI portal

Diversification quotients based on VaR and ES (Q6152692)

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scientific article; zbMATH DE number 7804006
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English
Diversification quotients based on VaR and ES
scientific article; zbMATH DE number 7804006

    Statements

    title
    Diversification quotients based on VaR and ES (English)
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    author
    Xia Han
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    Liyuan Lin
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    Ruodu Wang
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    publication date
    13 February 2024
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    zbMATH Keywords
    value-at-risk
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    expected shortfall
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    diversification quotient
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    elliptical models
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    regular varying models
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    cites work
    Q5796456
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    Q4550909
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    Probability
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    Q4343010
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    Q5253267
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    Joint Mixability
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    Identifiers

    arXiv ID
    2301.03517
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    Mathematics Subject Classification ID
    91G05
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    91G70
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    91G10
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    zbMATH DE Number
    7804006
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    OpenAlex ID
    W4386376541
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