A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764)
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scientific article; zbMATH DE number 6234365
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| English | A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data |
scientific article; zbMATH DE number 6234365 |
Statements
A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (English)
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28 November 2013
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Itô process
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vast portfolio
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gross-exposure constraint
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0.8826799
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0.86566144
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0.8554197
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0.8515204
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0.84923995
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0.8483945
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