This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting. For ...
This is a preview. Log in through your library . Abstract By looking at approximate multivariate risk premiums a matrix measure of multivariate local risk aversion is introduced for a multi-attributed ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback