Value-at-risk and asset allocation with stable return distributions

MaRDI QIDQ2567524zbMATH OpenFDO

Authors Svetlozar T. Rachev, Eduardo S. Schwartz, Stefan Mittnik

Publication date 11 October 2005

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(3)

• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance
• Regulation risk

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