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VaR Bounds for Joint Portfolios with Dependence Constraints
| Content Provider | Scilit |
|---|---|
| Author | Puccetti, Giovanni Rrschendorf, Ludger Manko, Dennis |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality is illustrated in a series of examples of practical interest. |
| Related Links | https://air.unimi.it/bitstream/2434/462511/2/DEMO-S-2016-0008_electronic_v2.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2794873 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2794873 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-06-08 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Operations Research and Management Science Statistics and Probability Dependence Uncertainty Positive Dependence |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |