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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
16 references·4 citing·36 second hop
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this work references cited by second hop

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  • 2020A New Data-Driven Distributionally Robust Portfolio Optimization Method Based on Wasserstein Ambiguity Set30 cited
  • 2019Optimization of investment portfolio management27 cited
  • 2020Mixed data sampling expectile regression with applications to measuring financial risk19 cited
  • 2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios16 cited