Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks (Q635960)
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scientific article; zbMATH DE number 5942429
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks |
scientific article; zbMATH DE number 5942429 |
Statements
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks (English)
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25 August 2011
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portfolio analysis
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value at risk
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power laws
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heavy-tailedness
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diversification
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dependence
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common shocks
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factor models
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riskiness
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majorization
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random effects
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linear estimators
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efficiency
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