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MaxVaR with non-Gaussian distributed returns - MaRDI portal

MaxVaR with non-Gaussian distributed returns (Q2477676)

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MaxVaR with non-Gaussian distributed returns
scientific article

    Statements

    title
    MaxVaR with non-Gaussian distributed returns (English)
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    author
    Damiano Rossello
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    publication date
    14 March 2008
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    zbMATH Keywords
    risk measures
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    risk management
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    jump-diffusion model
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    inflation factor
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    margin account
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    Monte Carlo simulation
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91B28
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    60J85
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    zbMATH DE Number
    5249634
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    OpenAlex ID
    W2003945016
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