Risk horizon and rebalancing horizon in portfolio risk measurement
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Recommendations
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Cites work
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- 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
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Coherent measures of risk
- Corrected random walk approximations to free boundary problems in optimal stopping
- Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- The log-normal approximation in financial and other computations
- Transactions costs and portfolio choice in a discrete-continuous-time setting
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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