"Portfolio Value-at-Risk and expected-shortfall using an efficient ..."

Seyed Mohammad Sina Seyfi, Azin Sharifi, Hamidreza Arian (2021)

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DOI: 10.1016/J.MATCOM.2021.05.029

access: closed

type: Journal Article

metadata version: 2021-09-28

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Seyed Mohammad Sina Seyfi, Azin Sharifi, Hamidreza Arian:
Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model. Math. Comput. Simul. 190: 1056-1079 (2021)

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