Vector-valued tail value-at-risk and capital allocation
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Publication:340111
DOI10.1007/s11009-015-9444-9zbMath1349.91319OpenAlexW1995981016MaRDI QIDQ340111
Mélina Mailhot, Hélène Cossette, Étienne Marceau, M'hamed Mesfioui
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-015-9444-9
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