Analytical VaR for international portfolios with common jumps

DOI10.1016/j.camwa.2011.08.018zbMath1232.91613OpenAlexW2003911542MaRDI QIDQ662223

Fen-Ying Chen

Publication date: 21 February 2012

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.08.018

zbMATH Keywords

jump-diffusionexchange rate riskbacktestinginternational portfoliosout-of-sample fitting

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ A mean-variance portfolio selection model with interval-valued possibility measures ⋮ A new portfolio selection model with interval-typed random variables and the empirical analysis

Uses Software

• R

Cites Work

• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Approximating Large Diversified Portfolios
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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