RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0217595911003053zbMath1208.91133MaRDI QIDQ3083549

Marcos Escobar, Pablo Olivares

Publication date: 22 March 2011

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

portfolio managementfactor modelsexpected shortfallvalue at riskstochastic correlation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods

Cites Work

• Wishart processes
• Stochastic volatility models as hidden Markov models and statistical applications

This page was built for publication: RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL