PVaR: A New Risk Measure for Financial Investments

DOI10.1007/978-981-16-9941-2_9zbMath1504.91337OpenAlexW4285248902MaRDI QIDQ5049407

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Publication date: 11 November 2022

Published in: Translational Systems Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-16-9941-2_9

zbMATH Keywords

stochastic processMonte Carlo simulationrisk measurevalue at risk (VaR)historical simulationfinancial investmentperiod VaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Uses Software

• Dowd

Cites Work

• Unnamed Item
• The computation of the worst conditional expectation.
• Coherent Measures of Risk
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Modeling and solving portfolio selection problems based on PVaR

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