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- W2950240346 abstract "In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of the mixture of Student-t distributions." @default.
- W2950240346 created "2019-06-27" @default.
- W2950240346 creator A5014358833 @default.
- W2950240346 date "2004-02-27" @default.
- W2950240346 modified "2023-09-27" @default.
- W2950240346 title "VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors" @default.
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