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

Processing math: 100%

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

图 1 $\frac{1}{10^6}\sum\limits_{i=1}^{10^6} {\rm I}\big({\bf w}^T{\bf x}_{i}>\widehat {\textrm{VaR}}_{\beta} ({\bf w}^T{\bf X})\big)$ 和 $\frac{1}{10^6}\sum\limits_{i=1}^{10^6} {\rm I}\big({\bf w}^T{\bf y}_{i}>\widehat {\textrm{VaR}}_{\beta}({\bf w}^T{\bf X})\big)$ 之间的比值