{"id":"W2297940481","doi":"10.2139/ssrn.2748970","title":"Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns","year":2016,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"","keywords":"Portfolio; Asset (computer security); Financial economics; Econometrics; Economics; Computer science; Computer security","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.006770197,0.001319889,0.001117814,0.003615914,0.000488301,0.002626797,0.001611584,0.001820494,0.004067852],"category_scores_gemma":[0.06086742,0.0007588827,0.0009160832,0.001463938,0.002558267,0.005910052,0.002653871,0.002805774,0.0006772791],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00149151,"about_ca_system_score_gemma":0.000932003,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001408768,"about_ca_topic_score_gemma":0.001048073,"domain_scores_codex":[0.998728,0.000562384,0.00007692623,0.0002068094,0.000302337,0.0001235844],"domain_scores_gemma":[0.9745736,0.01678373,0.002877075,0.001677876,0.002898007,0.001189841],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001097181,0.00008411505,0.007130638,0.0002225419,0.0000965525,0.0002610077,0.000491557,0.128305,0.004184168,0.8164438,0.003092051,0.0395789],"study_design_scores_gemma":[0.0000126999,0.00006328945,0.003796009,0.00007876965,0.00002985172,0.0002952472,0.00007818156,0.6023995,0.0007039918,0.3914255,0.001061965,0.00005524038],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.14271,0.002544073,0.8436102,0.0009512597,0.0001090709,0.00005628601,0.0001781962,0.0006556488,0.00918518],"genre_scores_gemma":[0.9361191,0.002656576,0.05157971,0.0002565033,0.0003997264,0.0001703022,0.0005913081,0.000422039,0.00780475],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006770197,"threshold_uncertainty_score":0.03580463,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01870777474181077,"score_gpt":0.2256085365879485,"score_spread":0.2069007618461377,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}