Bin Wang

Beijing Technology and Business University - Department of Mathematics

No. 11/33, Fucheng Road, Haidian District

Liangxiang

Beijing, 102488

China

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Diversification Limit of Quantiles Under Dependence Uncertainty

Extremes. Statistical Theory and Applications in Science, Engineering and Economics ISSN: 1386-1999 (Print) 1572-915X (Online). 2016
Number of pages: 26 Posted: 23 Apr 2015 Last Revised: 23 Feb 2016
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Science and Technology of China (USTC) - Department of Statistics and Finance, Beijing Technology and Business University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
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Abstract:

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Value-at-Risk, diversification ratio, extreme value analysis, asymptotics, dependence uncertainty