"Sharp asymptotics for large portfolio losses under extreme risks."

Qihe Tang, Zhaofeng Tang, Yang Yang (2019)

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DOI: 10.1016/J.EJOR.2019.01.025

access: closed

type: Journal Article

metadata version: 2025-01-19

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Qihe Tang, Zhaofeng Tang, Yang Yang:
Sharp asymptotics for large portfolio losses under extreme risks. Eur. J. Oper. Res. 276(2): 710-722 (2019)

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