Vector-Valued Tail Value-at-Risk and Capital Allocation

Vector-Valued Tail Value-at-Risk and Capital Allocation

Cossette, Hélène, Mailhot, Mélina, Marceau, Étienne, Mesfioui, Mhamed
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Volume:
18
Language:
english
Journal:
Methodology and Computing in Applied Probability
DOI:
10.1007/s11009-015-9444-9
Date:
September, 2016
File:
PDF, 721 KB
english, 2016
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