A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s11749-013-0337-3 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2054712080 / rank | |||
Normal rank | |||
Revision as of 02:50, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data |
scientific article |
Statements
A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (English)
0 references
28 November 2013
0 references
Itô process
0 references
vast portfolio
0 references
gross-exposure constraint
0 references
