Diversification quotients based on VaR and ES
Year of publication: |
2023
|
---|---|
Authors: | Han, Xia ; Lin, Liyuan ; Wang, Ruodu |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 113.2023, p. 185-197
|
Subject: | Diversification quotient | Elliptical models | Expected Shortfall | Regular varying models | Value-at-Risk | Risikomaß | Risk measure | Diversifikation | Diversification | Portfolio-Management | Portfolio selection | Theorie | Theory | Schätzung | Estimation |
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