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]
@article{XingY20,
title = {First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation},
author = {Guo-Dong Xing and Shanchao Yang},
year = {2020},
doi = {10.1007/s11424-020-8037-z},
url = {https://doi.org/10.1007/s11424-020-8037-z},
researchr = {https://researchr.org/publication/XingY20},
cites = {0},
citedby = {0},
journal = {J. Systems Science & Complexity},
volume = {33},
number = {5},
pages = {1533-1544},
}