Portfolio value-at-risk approximation for geometric Brownian motion (Q6602412)
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scientific article; zbMATH DE number 7911064
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| default for all languages | No label defined |
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| English | Portfolio value-at-risk approximation for geometric Brownian motion |
scientific article; zbMATH DE number 7911064 |
Statements
Portfolio value-at-risk approximation for geometric Brownian motion (English)
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11 September 2024
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portfolio value-at-risk
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sum of lognormal distribution
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Fenton-Wilkinson approximation
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0.7478344440460205
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0.7437596321105957
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0.7103753089904785
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