一个关于多元正则变化风险的渐近投资组合损失序的注记

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邢国东,李效虎,康素玲,石黄萍

A Note on Asymptotic Portfolio Loss Order of Multivariate Regularly Varying Risks

Guodong Xing,Xiaohu Li,Suling Kang,Huangping Shi

表 1

$\le_{sapl}$

序的渐近比值(被表示为

$L_{{\bf w}}$

)

${\bf w}$	${\bf w}_1$	${\bf w}_2$	${\bf w}_3$	${\bf w}_4$
$L_{{\bf w}}$	0.8789	0.8514	0.8128	0.7783