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The End of a Cycle in Latin America and Its Associated Risks
Cycle in Latin America Associated Risks
2015/5/12
Latin America is no exception regarding the changes in emerging market conditions that have occurred since May 2013. The first wave of bad news for emerging markets, which put an end to the bonanza of...
Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...