First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

中国科学院数学与系统科学研究院期刊网

First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

XING Guodong · YANG Shanchao

First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

XING Guodong · YANG Shanchao

Journal of Systems Science and Complexity . 2020, (5): 1533 -1544 . DOI: 10.1007/s11424-020-8037-z