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First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariat
[期刊论文] 作者：XING Guodong,YANG Shanchao,
来源：系统科学与复杂性学报（英文版） 年份：2020
In the context of multivariate regular variation,the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss.Furthermore,by...
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