Arismendi, Juan C.; Broda, Simon Multivariate elliptical truncated moments. (English) Zbl 1362.62030 J. Multivariate Anal. 157, 29-44 (2017). MSC: 62E15 62E10 62E17 62N01 62N05 91B30 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Broda, Simon A. The expected shortfall of quadratic portfolios with heavy-tailed risk factors. (English) Zbl 1272.91115 Math. Finance 22, No. 4, 710-728 (2012). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI