Risk management with multiple VaR constraints (Q1616838)

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Risk management with multiple VaR constraints
scientific article

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    title
    Risk management with multiple VaR constraints (English)
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    author
    R. Smith
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    publication date
    7 November 2018
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    zbMATH DE Number
    6974534
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    zbMATH Keywords
    value at risk
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    optimal portfolio
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    multiple risk constraints
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    risk management
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    Solvency II regulation
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    OpenAlex ID
    W2802838328
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    Wikidata QID
    Q129855762
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