Quantile approximations in auto-regressive portfolio models

DOI10.1016/J.CAM.2010.09.023zbMath1208.91158OpenAlexW1990267609MaRDI QIDQ629438

Aleš Ahčan, Mihael Perman, Sašo Polanec, Igor Masten

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.09.023

zbMATH Keywords

multi-period portfolio returnTaylor conditioned approximationvector auto-regressive returns

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17) Portfolio theory (91G10)

Cites Work

• Ruined moments in your life: how good are the approximations?
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• The concept of comonotonicity in actuarial science and finance: applications.
• Confidence bounds for discounted loss reserves.
• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
• The value of an Asian option
• On the distribution of discounted loss reserves using generalized linear models
• Upper and lower bounds for sums of random variables

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