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- W2361116986 abstract "The Archimedean copula theory has been employed in the calculation of spectral risk measure(SMR),and a new method of risk measurement(copula-SMR) has been put forward.The G-H distribution was used to construct the marginal distribution and estimate the parameters of the given Archimedean copula by the maximum likelihood method,and finally a better copula was chosen in order to fit the dependence of the actual data.A quadratic programming method was chosen to compute the SMR and determine the optimal portfolio coefficient for different expected rates of return." @default.
- W2361116986 created "2016-06-24" @default.
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- W2361116986 date "2012-01-01" @default.
- W2361116986 modified "2023-09-25" @default.
- W2361116986 title "Analysis of copula-spectral measure of risk based on G-H distribution" @default.
- W2361116986 hasPublicationYear "2012" @default.
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