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Author:

张杰 (张杰.) | 杨振海 (杨振海.)

Abstract:

本文给出了应用连接函数计算投资组合风险值的实际例子,模拟结果显示,该方法显著优于基于联合正态分布假设的传统方法。

Keyword:

连接函数 风险值 投资组合

Author Community:

  • [ 1 ] 北京工业大学应用数理学院

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Source :

Year: 2003

Language: Chinese

Cited Count:

WoS CC Cited Count: 0

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 7

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