MaxVaR with non-Gaussian distributed returns

DOI10.1016/j.ejor.2007.05.021zbMath1151.91060OpenAlexW2003945016MaRDI QIDQ2477676

Damiano Rossello

Publication date: 14 March 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.05.021

zbMATH Keywords

Monte Carlo simulationrisk measuresrisk managementjump-diffusion modelinflation factormargin account

Mathematics Subject Classification ID

Related Items (5)

On distributional robust probability functions and their computations ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Statistical properties and economic implications of jump-diffusion processes with shot-noise effects ⋮ Equilibrium approach of asset pricing under Lévy process

Cites Work

• A Jump-Diffusion Model for Option Pricing
• A relation between Brownian bridge and Brownian excursion
• Coherent Measures of Risk
• First passage times of a jump diffusion process
• Option pricing when underlying stock returns are discontinuous
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Dynamic value at risk under optimal and suboptimal portfolio policies.

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