VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

DOI10.1142/S0219024905003104zbMath1138.91453arXivmath/0309211OpenAlexW3023447679MaRDI QIDQ5696292

Jules Sadefo Kamdem

Publication date: 18 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0309211

Mathematics Subject Classification ID

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Cites Work

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• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

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