Tail conditional risk measures for location-scale mixture of elliptical distributions
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Publication:3390364
DOI10.1080/00949655.2021.1944142OpenAlexW3188249498MaRDI QIDQ3390364
Publication date: 24 March 2022
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2021.1944142
elliptical distributionsmultivariate risk measureslocation-scale mixtureportfolio allocationstail conditional expectations
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Cites Work
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