| Autor: |
Pingyun Li, Chuancun Yin |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
|
| Zdroj: |
AIMS Mathematics, Vol 7, Iss 5, Pp 8802-8821 (2022) |
| Druh dokumentu: |
article |
| ISSN: |
2473-6988 |
| DOI: |
10.3934/math.2022491?viewType=HTML |
| Popis: |
In this paper we derive explicit formulas of tail conditional expectation (TCE) and tail variance (TV) for the class of location-scale mixtures of elliptical distributions, which includes the generalized hyper-elliptical (GHE) distribution. We also develop portfolio risk decomposition with TCE for multivariate location-scale mixtures of elliptical distributions. To illustrate our findings, we focus on the generalized hyperbolic (GH) family which is a popular subclass of the GHE for stocks modelling. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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