Efficient risk simulations for linear asset portfolios in the t-copula model

✍ Scribed by Halis Sak; Wolfgang Hörmann; Josef Leydold

• Book ID: 108118749
• Publisher: Elsevier Science
• Year: 2010
• Tongue: English
• Weight: 409 KB
• Volume: 202
• Category: Article
• ISSN: 0377-2217
• DOI: 10.1016/j.ejor.2009.06.025