First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation
Crossref DOI link: https://doi.org/10.1007/s11424-020-8037-z
Published Online: 2020-08-04
Published Print: 2020-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Xing, Guodong
Yang, Shanchao
Text and Data Mining valid from 2020-08-04
Version of Record valid from 2020-08-04
Article History
Received: 5 February 2018
Revised: 7 July 2019
First Online: 4 August 2020