VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

Jules Sadefo Kamdem

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Abstract: In this paper, we generalize the Linear VaRmethod from portfolios with normally distributed risk fac-tors to portfolios with mixture of elliptically distributed ones.We treat both the Expected Shortfall and the Value-at-Riskof such portfolios. Special attention is given to the particularcase of a mixture of multivariatet-distributions.

Keywords: Mixture of elliptic distributions; Linearportfolio; Value-at-Risk; Expected Shortfall; Capital allocation (search for similar items in EconPapers)
Date: 2007-08-31
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Citations: View citations in EconPapers (6)

Published in Computing and Visualization in Science, 2007, 10 (4), pp.197-210. ⟨10.1007/s00791-007-0073-x⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02938574

DOI: 10.1007/s00791-007-0073-x

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