Pages that link to "Item:Q614629"
From MaRDI portal
The following pages link to Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629):
Displaying 6 items.
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288) (← links)
- On measuring nonlinear risk with scarce observations (Q650755) (← links)
- The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model. (Q1406488) (← links)
- On a nonlinear risk analysis for stock market indexes (Q2454821) (← links)
- Nonlinear risk of linear instruments (Q2752035) (← links)
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500 (Q5245462) (← links)