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 & Complexity ›› 2020, Vol. 33 ›› Issue (5) : 1533-1544.

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Journal of Systems Science & Complexity ›› 2020, Vol. 33 ›› Issue (5) : 1533-1544. DOI: 10.1007/s11424-020-8037-z

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

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2020, 33(5): 1533-1544 https://doi.org/10.1007/s11424-020-8037-z

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