Portfolio selection under VaR constraints (Q2477611)
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scientific article; zbMATH DE number 5249579
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Portfolio selection under VaR constraints |
scientific article; zbMATH DE number 5249579 |
Statements
Portfolio selection under VaR constraints (English)
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14 March 2008
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value-at-risk
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portfolio selection
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Monte Carlo simulation
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conditional heteroskedasticity
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0.8413492441177368
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0.8283873200416565
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0.8184593915939331
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0.818000853061676
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