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

DOI10.18523/2617-70804202128-33MaRDI QIDQ6568614FDOQ6568614

G. Solomanchuk, Nataliya Yu. Shchestyuk

Publication date: 8 July 2024

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

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)

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