A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data

DOI10.1007/s11749-013-0337-3zbMath1367.62284OpenAlexW2054712080MaRDI QIDQ384764

Xin-Bing Kong

Publication date: 28 November 2013

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-013-0337-3

zbMATH Keywords

Itô processgross-exposure constraintvast portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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