Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market

DOI10.1080/14697680400000017zbMath1405.91553OpenAlexW4249404209MaRDI QIDQ4610218

Tsui Kai Chong, Liu Xiaoqing, Kian-Guan Lim

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/1910

zbMATH Keywords

value-at-riskportfoliosjump-diffusion market

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Analytical VaR for international portfolios with common jumps

Cites Work

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