"Sensitivity of portfolio VaR and CVaR to portfolio return characteristics."

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi (2013)

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DOI: 10.1007/S10479-012-1142-1

access: closed

type: Journal Article

metadata version: 2020-08-13

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  - https://dblp.org/rec/journals/anor/StoyanovRF13
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi:
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Ann. Oper. Res. 205(1): 169-187 (2013)

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