scientific article; zbMATH DE number 7400752

MaRDI QIDQ5152677zbMATH OpenFDO

Authors Daniel Iskra

Publication date 24 September 2021

Full work available at URL http://math.unipa.it/~circmat/Supplemento_83.pdf

zbMATH Keywords

geometric Brownian motionportfoliovalue at risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cited in

(3)

• Portfolio optimization based on value-at-risk
• The portfolio model based on geometric Brownian motion
• Portfolio value-at-risk approximation for geometric Brownian motion

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