First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

Guo-Dong Xing, Shanchao Yang. First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation. J. Systems Science & Complexity, 33(5):1533-1544, 2020. [doi]

Abstract

Abstract is missing.