Efficient Risk Simulations for Linear Asset Portfolios

Halis Sak, Wolfgang Hörmann, Josef Leydold

Publication: Working/Discussion Paper › WU Working Paper

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2010

Efficient Risk Simulations for Linear Asset Portfolios in the t-Copula Model
Sak, H., Hörmann, W. & Leydold, J., 1 Dec 2010, In: European Journal of Operational Research (EJOR). 202, 3, p. 802 - 809
Publication: Scientific journal › Journal article › peer-review