Risk modelling approaches for Student-like models with fractal activity time (Q6568614)
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scientific article; zbMATH DE number 7877830
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| English | Risk modelling approaches for Student-like models with fractal activity time |
scientific article; zbMATH DE number 7877830 |
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Risk modelling approaches for Student-like models with fractal activity time (English)
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8 July 2024
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value at risk
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Student distribution
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Monte Carlo method
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fractal activity time model
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optimal portfolio
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0.7973365187644958
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0.7597138285636902
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0.7517566680908203
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0.7492631673812866
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