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Market risk budgeting with value-at-risk-limits for linear positions - MaRDI portal

Market risk budgeting with value-at-risk-limits for linear positions

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Publication:1283726

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DOI10.1007/s002910050089zbMath0916.90012OpenAlexW3121288312MaRDI QIDQ1283726

Helmut Beeck, Lutz Johanning, Bernd Rudolph

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050089

zbMATH Keywords

value-at-risk square root of time rule value-at-risk-limit

Mathematics Subject Classification ID

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Related Items (1)

On the non-existence of conditional value-at-risk under heavy tails and short sales

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