In the context of multivariate regular variation, the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss. Furthermore, by the notion of second-order regular variation, the second-order asymptotics of the spectral risk measure of portfolio loss is also presented.In order to illustrate the derived results, a numerical example with Monte Carlo simulation is carried out. 

【文章來(lái)源】：Journal of Systems Science & Complexity. 2020,33(05)

【文章頁(yè)數(shù)】：12 頁(yè)


本文編號(hào)：2981757