Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

International Journal of Theoretical and Applied Finance

Volumn 8, Issue 5, 2005, Pages 537-551

  Kamdem, Jules Sadefo ^a  

^a UNIVERSITÉ DE REIMS CHAMPAGNE ARDENNE   (France)

Author keywords

Capital allocation; Elliptic distributions; Expected shortfall; Linear portfolio; Value at Risk

Indexed keywords

EID: 23444447439     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024905003104     Document Type: Article

References (13)

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