Portfolio optimization with relative tail risk (Q6644371)
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scientific article; zbMATH DE number 7950223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with relative tail risk |
scientific article; zbMATH DE number 7950223 |
Statements
Portfolio optimization with relative tail risk (English)
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27 November 2024
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portfolio optimization
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relative tail risk
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normal tempered stable model
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CoVaR
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CoCVaR
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marginal contribution to risk
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