Risk management under a factor stochastic volatility model

DOI10.1142/S0217595911003053zbMATH Open1208.91133MaRDI QIDQ3083549FDOQ3083549

Authors: M. Escobar, Pablo Olivares 

Publication date: 22 March 2011

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Recommendations

• Portfolio optimization and a factor model in a stochastic volatility market
• On risk measuring in the variance-gamma model
• Value-at-risk based portfolio optimization
• Portfolio selection under VaR constraints
• Managing risk with expected shortfall

zbMATH Keywords

factor modelsexpected shortfallvalue at riskportfolio managementstochastic correlation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Wishart processes
• Stochastic volatility models as hidden Markov models and statistical applications

Cited In (4)

• Study of stock index risk measures
• Stochastic Risk Analysis and Management
• A model-free identification of relative risk
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods

This page was built for publication: Risk management under a factor stochastic volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3083549)