VaR bounds for joint portfolios with dependence constraints
type: Item
instance of: scholarly article
title: VaR bounds for joint portfolios with dependence constraints
zbMATH Open document ID: 1386.91175
author: Giovanni Puccetti
author: Ludger Rüschendorf
author: Dennis Manko
published in: Dependence Modeling
publication date: 2016-12-20T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60E15
zbMATH DE Number: 6666940
zbMATH Keywords: value-at-risk
zbMATH Keywords: dependence uncertainty
zbMATH Keywords: positive dependence
zbMATH Keywords: model risk
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: demo-2016-0021
OpenAlex ID: W3122101447
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DOI: 10.1515/DEMO-2016-0021
description: scientific article; zbMATH DE number 6666940