Risk modelling approaches for Student-like models with fractal activity time

DOI10.18523/2617-70804202128-33MaRDI QIDQ6568614zbMATH OpenFDO

Authors G. Solomanchuk, Nataliya Yu. Shchestyuk

Publication date 8 July 2024

Published in Mogylyans'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.18523/2617-70804202128-33

zbMATH Keywords

value at riskMonte Carlo methodoptimal portfolioStudent distributionfractal activity time model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Fractals (28A80)

Recommendations

• Student-like models for risky asset with dependence
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• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions

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