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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V., Rachev, Svetlozar T., Fabozzi, Frank J.Volume:
205
Language:
english
Pages:
19
Journal:
Annals of Operations Research
DOI:
10.1007/s10479-012-1142-1
Date:
May, 2013
File:
PDF, 780 KB
english, 2013