A linearized value-at-risk model with transaction costs and short selling (Q320109)
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scientific article; zbMATH DE number 6633802
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| English | A linearized value-at-risk model with transaction costs and short selling |
scientific article; zbMATH DE number 6633802 |
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A linearized value-at-risk model with transaction costs and short selling (English)
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6 October 2016
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linearized model
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short-sales
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transaction costs
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0.7940800786018372
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0.772874116897583
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0.77213054895401
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0.7631576657295227
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