Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors

Jules Sadefo Kamdem

Published in: CoRR (2003)

Keyphrases

risk factors
high risk
risk assessment
portfolio management
risk analysis
risk management
statistical methods
blood pressure
diabetes mellitus
decision making
portfolio optimization
artificial intelligence
cardiovascular disease
computer networks
model selection
expectation maximization
databases
data analysis