Risk horizon and rebalancing horizon in portfolio risk measurement
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Publication:4906529
DOI10.1111/J.1467-9965.2010.00465.XzbMATH Open1278.91138OpenAlexW2329864120MaRDI QIDQ4906529FDOQ4906529
Authors: Paul Glasserman 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00465.x
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Cites Work
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- Coherent measures of risk
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- Augmented GARCH\((p,q)\) process and its diffusion limit
- A continuity correction for discrete barrier options
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- The log-normal approximation in financial and other computations
- Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
- Corrected random walk approximations to free boundary problems in optimal stopping
Cited In (4)
- Estimating the counterparty risk exposure by using the Brownian motion local time
- RESEARCH ON RISK MEASUREMENT OF SUPPLY CHAIN FINANCE BASED ON FRACTAL THEORY
- The default risk charge approach to regulatory risk measurement processes
- Portfolio rebalancing error with jumps and mean reversion in asset prices
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