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20062021
most citedBorel theorems for random matrices from the classical compact symmetric spaces

26 citations · 82 across the 12 of their papers we have counts for

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q-fin.RM2009

A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances

Brice Franke, Michael Stolz

We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and…