Sensitivity-implied tail-correlation matrices
Year of publication: |
2022
|
---|---|
Authors: | Paulusch, Joachim ; Schlütter, Sebastian |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 134.2022, p. 1-15
|
Subject: | Portfolio optimization | Risk aggregation | Tail correlation | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomanagement | Risk management | Aggregation | Schätztheorie | Estimation theory |
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