Portfolio value-at-risk approximation for geometric Brownian motion

DOI10.3103/S1068362324700067MaRDI QIDQ6602412zbMATH OpenFDO

Authors H. Kechejian, Viktor Ohanyan, V. G. Bardakhchyan

Publication date 11 September 2024

Published in Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S1068362324700067

zbMATH Keywords

Fenton-Wilkinson approximationportfolio value-at-risksum of lognormal distribution

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30) Microeconomic theory (price theory and economic markets) (91B24) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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Cites work

• A Normal Limit Theorem for Power Sums of Independent Random Variables
• Comparing VaR Approximation Methods that Use the First Four Moments as Inputs
• scientific article; zbMATH DE number 2021757 (Why is no real title available?)
• VaR methodology for non-Gaussian finance

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