MaxVaR with non-Gaussian distributed returns
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Publication:2477676
DOI10.1016/j.ejor.2007.05.021zbMath1151.91060OpenAlexW2003945016MaRDI QIDQ2477676
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
Monte Carlo simulationrisk measuresrisk managementjump-diffusion modelinflation factormargin account
Related Items
On distributional robust probability functions and their computations, 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, Equilibrium approach of asset pricing under Lévy process
Cites Work
- A Jump-Diffusion Model for Option Pricing
- A relation between Brownian bridge and Brownian excursion
- Coherent Measures of Risk
- 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
- Dynamic value at risk under optimal and suboptimal portfolio policies.
