Bounds for joint portfolios of dependent risks

Statistics and Risk Modeling

Volumn 29, Issue 2, 2012, Pages 107-132

  Puccetti, Giovanni ^a   Rüschendorf, Ludger ^a  

^a NONE

Author keywords

dependent risks; Fr chet bounds; joint portfolio; mass transportation theory; overlapping marginals

Indexed keywords

EID: 84964524315     PISSN: 21931402     EISSN: 21967040     Source Type: Journal    
DOI: 10.1524/strm.2012.1117     Document Type: Article

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