Second-order asymptotics of the risk concentration of a portfolio with deflated risks

DOI10.1155/2018/4689479zbMath1427.91252OpenAlexW2800525097MaRDI QIDQ1720948

Weiping Zhang, Yu Gao, Yu Chen, Wenxue Gao

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/4689479

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Tail distortion risk measure for portfolio with multivariate regularly variation

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