Value-at-risk and asset allocation with stable return distributions

zbMath1177.62123MaRDI QIDQ2567524

Svetlozar T. Rachev, Eduardo S. Schwartz, Stefan Mittnik

Publication date: 11 October 2005

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Regulation Risk ⋮ Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance ⋮ Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift

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