Value at risk of non-normal portfolios

Revista Espanola de Financiacion y Contabilidad

Volumn 32, Issue 115 SPEC. ISSUE, 2003, Pages 290-310

  Perote, Javier ^a  

^a UNIVERSIDAD REY JUAN CARLOS   (Spain)

Author keywords

C13; Edgeworth sargan density; G10; Gil; JEL classification code; Multivariate distributions; Portfolio distribution; Value at risk

Indexed keywords

EID: 33744989498     PISSN: 02102412     EISSN: 02102412     Source Type: Journal    
DOI: 10.1080/02102412.2003.10779482     Document Type: Article

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