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20032026
most citedValue-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

2 citations · 2 across the 7 of their papers we have counts for

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math.NA2003

Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options

Jules Sadefo Kamdem, Alan Genz

We consider an application involving a financial quadratic portfolio of options, when the joint underlying log-returns changes with multivariate elliptic distribution. This motivat…