Distributional bounds for portfolio risk with tail dependence

DOI10.1007/S11009-014-9396-5zbMath1331.91170OpenAlexW2021780939MaRDI QIDQ496974

Junichi Imai, Kunio So

Publication date: 23 September 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9396-5

zbMATH Keywords

copulasFréchet boundsrisk managementtail dependencemarket risks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of functional analysis in probability theory and statistics (46N30) Portfolio theory (91G10)

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