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VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors



    (Université de Reims)


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  • SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpri:0406001
    Note: Type of Document - pdf; pages: 12 .

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    References listed on IDEAS

    1. Mahmoud Hamada & Emiliano A. Valdez, 2008. "CAPM and Option Pricing With Elliptically Contoured Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 387-409, June.
    2. Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211,
    3. SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, University Library of Munich, Germany.
    4. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, University Library of Munich, Germany.
    5. Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
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