Upper bounds on value-at-risk for the maximum portfolio loss
type: Item
instance of: scholarly article
title: Upper bounds on value-at-risk for the maximum portfolio loss
zbMATH Open document ID: 1314.91201
author: Robert Yuen
author: Stilian Stoev
published in: Extremes
publication date: 2014-12-19T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 6381857
zbMATH Keywords: Tawn-Molchanov model
zbMATH Keywords: max-stable
zbMATH Keywords: lower orthant order
zbMATH Keywords: maximum portfolio loss
zbMATH Keywords: value at risk
describes a project that uses: quadprog
MaRDI profile type: Publication
full work available at URL: s10687-014-0198-5
OpenAlex ID: W2037277027
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DOI: 10.1007/S10687-014-0198-5
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description: scientific article; zbMATH DE number 6381857