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Asimit, A.V. ORCID: 0000-0002-7706-0066, Peng, L., Wang, R. & Yu, A. (2019).
An efficient approach to quantile capital allocation and sensitivity analysis.
Mathematical Finance,
Asimit, A.V., Gerrard, R. J. G., Yanxi, H. & Peng, L. (2016). Tail Dependence Measure for Examining Financial Extreme Co-movements. Journal of Econometrics, 194(2), pp. 330-348. doi: 10.1016/j.jeconom.2016.05.011
Asimit, A.V., Li, D. & Peng, L. (2010). Pitfalls in using Weibull tailed distributions. Journal of Statistical Planning and Inference, 140(7), pp. 2018-2024. doi: 10.1016/j.jspi.2010.01.039
Asimit, V. ORCID: 0000-0002-7706-0066, Peng, L., Tunaru, R. & Zhou, F. (2023).
Constructing Optimal Portfolios under Risk Budgeting.
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