MaxVaR with non-Gaussian distributed returns

DOI10.1016/J.EJOR.2007.05.021MaRDI QIDQ2477676zbMATH OpenOpenAlexFDO

Authors Damiano Rossello

Publication date 14 March 2008

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2007.05.021

zbMATH Keywords

inflation factorjump-diffusion modelmargin accountMonte Carlo simulationrisk managementrisk measures

Mathematics Subject Classification ID

Applications of branching processes (60J85)

Recommendations

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• scientific article; zbMATH DE number 1941513
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Cites work

• A jump-diffusion model for option pricing
• A relation between Brownian bridge and Brownian excursion
• Coherent measures of risk
• Dynamic value at risk under optimal and suboptimal portfolio policies.
• First passage times of a jump diffusion process
• Option pricing when underlying stock returns are discontinuous
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(7)

• Equilibrium approach of asset pricing under Lévy process
• VaR modelling on long run horizons
• On distributional robust probability functions and their computations
• Non-parametric inference on risk measures for integrated returns
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• First passage times in portfolio optimization: a novel nonparametric approach
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects

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