Volatility, risk modeling and utility

DOI10.1016/j.amc.2006.01.079zbMath1151.91580OpenAlexW1989571779MaRDI QIDQ858849

Michael Nwogugu

Publication date: 11 January 2007

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

Full work available at URL: https://doi.org/10.1016/j.amc.2006.01.079

zbMATH Keywords

complexityartificial intelligencedecision-makingnon-linear dynamicspsychologyrisk and uncertainty

Mathematics Subject Classification ID

Decision theory (91B06) Learning and adaptive systems in artificial intelligence (68T05) Mathematical psychology (91E99)

Cites Work

• Unnamed Item
• Alternative models for stock price dynamics.
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Do asset market prices reflect traders' judgment biases?
• Understanding the cubic and half-cubic laws of financial fluctuations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• The Econometrics of Ultra-high-frequency Data
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

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