Dennis Manko

University of Freiburg - Institut für Mathematische Stochastik

D-79104, Freiburg

Germany

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Scholarly Papers (1)

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VaR Bounds for Joint Portfolios with Dependence Constraints

Number of pages: 16 Posted: 13 Jun 2016
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and University of Freiburg - Institut für Mathematische Stochastik
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Abstract:

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Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk