• RSU International Research Conference 2024 on Science and Technology
• RSU International Research Conference 2024 on Social Science and Humanities, Education, and Management
• RSU International Research Conference 2023 on Science and Technology
• RSU International Research Conference 2023 on Social Science and Humanities, Education, and Management
• RSU International Research Conference 2022 on Science and Technology
• RSU International Research Conference 2022 on Social Science and Humanities, Education, and Management
• RSU International Research Conference 2021 on Science and Technology
• RSU International Research Conference 2021 on Social Science and Humanity, Education, Management, and Arts
• RSU National Research Conference 2021 on Science and Technology
• RSU National Research Conference 2021 on Social Science and Humanity, Education, Management, and Arts
• RSU International Research Conference 2020
• RSU National Research Conference 2020
• RSU International Research Conference 2019
• RSU National Research Conference 2019
• RSU International Research Conference 2018
• RSU National Research Conference 2018
• RSU International Research Conference 2017
• RSU National Research Conference 2017
• RSU International Research Conference 2016
• RSU National Research Conference 2016
• RSU National Research Conference 2015
• RSU National Research Conference 2014
• RSU National Research Conference 2013
• RSU National Research Conference 2012

RSU International Research Conference 2020

Year: 2020

A determination formula on the copula-based estimation of Value at Risk for the portfolio problem

Andres Mauricio Molina Barreto and Naoyuki Ishimura

Pages: 1236-1246

Keywords: Value ar Risk (VaR), Portfolio problem, Copulas, Archimedean copulas, Determination formula

Download full paper.