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CVaR sensitivity with respect to tail thickness
Stoyanov, Stoyan V., Rachev, Svetlozar T., Fabozzi, Frank J.Volume:
37
Language:
english
Journal:
Journal of Banking & Finance
DOI:
10.1016/j.jbankfin.2012.11.010
Date:
March, 2013
File:
PDF, 496 KB
english, 2013