An alternative stochastic model for linear portfolios

Birbiçer İ., Genç A. İ.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.53, sa.11, ss.5573-5593, 2024 (SCI-Expanded, Scopus)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 53 Sayı: 11
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1080/03610918.2023.2196379
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-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.5573-5593
  • Anahtar Kelimeler: Conditional value-at-risk, Distribution, Generalized T (GT), Portfolio, Risk measure, Tail variance
  • Çukurova Üniversitesi Adresli: Evet