Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model

被引：0

作者：

Seyfi, Seyed Mohammad Sina ^{[1
]}

Sharifi, Azin ^{[2
]}

Arian, Hamidreza ^{[2
]}

机构：

[1] Aalto University, School of Business, Department of Finance, Ekonominaukio 1, Espoo,02150, Finland

[2] Graduate School of Management and Economics, Sharif University of Technology, Teimori Blvd, Azadi St, Tehran,1459973941, Iran

来源：

Mathematics and Computers in Simulation | 2021年 / 190卷

关键词：

44;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

引用

页码：1056 / 1079

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