Maite Quintanilla

University of Toronto

Department of Mathematics

Toronto, Ontario M5S 3E6

Canada

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Principal Component Value at Risk

Mathematical Finance, Vol. 12, pp. 23-43, 2002
Number of pages: 21 Posted: 22 Dec 2002
University of London - Economics, Mathematics and Statistics, Universidad Autónoma de Madrid - Department of Mathematics, University of Toronto and University of Toronto
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