Work

Fat tails, expected shortfall and the Monte Carlo method: a note

Year: 2009

Type: article

Source: The Journal of Operational Risk

DOI: 10.21314/jop.2009.054

Authors: Michael Brunner, Fabio Piacenza, Fabio Monti, Davide Bazzarello

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2546574530

FWCI:

Cites:

Cited by: 1

Related to: 10