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Risk concentration and diversification: second-order properties - MaRDI portal

Risk concentration and diversification: second-order properties (Q659264)

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Risk concentration and diversification: second-order properties
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    title
    Risk concentration and diversification: second-order properties (English)
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    author
    Matthias Degen
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    Dominik D. Lambrigger
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    Johan Segers
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    publication date
    10 February 2012
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    Mathematics Subject Classification ID
    91B30
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    60K10
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    62P05
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    zbMATH DE Number
    6004720
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    zbMATH Keywords
    diversification
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    second-order regular variation
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    second-order subexponentiality
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    subadditivity
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    value-at-risk
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    OpenAlex ID
    W1994073992
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    arXiv ID
    0910.2367
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