A semiparametric approach to value-at-risk, expected...

Economic Modelling 2014 / 10 Vol. 42

A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock–bond portfolios

Chen, Xiangjin B., Silvapulle, Param, Silvapulle, Mervyn
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Volume:
42
Language:
english
Journal:
Economic Modelling
DOI:
10.1016/j.econmod.2014.07.010
Date:
October, 2014
File:
PDF, 2.85 MB
english, 2014
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