Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29595
Authors: 
Fischer, Matthias J.
Year of Publication: 
2003
Series/Report no.: 
Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 47/2003
Abstract: 
On of the crucial questions in risk management is how to aggregate individual risk into overall portfolio risk.
Subjects: 
Skewed hyperbolic secant
Multivariate GHS distribution
Copula
Document Type: 
Working Paper

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