An alternative stochastic model for linear portfolios


Birbiçer İ., Genç A. İ.

COMMUNICATIONS IN STATISTICS PART B: SIMULATION AND COMPUTATION, cilt.0, ss.1, 2023 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 0
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1080/03610918.2023.2196379
  • Dergi Adı: COMMUNICATIONS IN STATISTICS PART B: SIMULATION AND COMPUTATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Business Source Elite, Business Source Premier, CAB Abstracts, Compendex, Computer & Applied Sciences, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1
  • Anahtar Kelimeler: Conditional value-at-risk, Distribution, Generalized T (GT), Portfolio, Risk measure, Tail variance
  • Çukurova Üniversitesi Adresli: Evet