Properties of time averages in a risk management simulation
Year of publication: |
2014-05-07
|
---|---|
Authors: | Bell, Peter Newton |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Time average | risk management | portfolio optimization |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Classification: | C4 - Econometric and Statistical Methods: Special Topics ; C44 - Statistical Decision Theory; Operations Research ; D8 - Information and Uncertainty ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice |
Source: |
-
Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds
Malhotra, Yogesh, (2023)
-
Malhotra, Yogesh, (2015)
-
Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs
Ormos, Mihály, (2011)
- More ...
-
Effects of streaming loans for commodity producers
Bell, Peter Newton, (2014)
-
Book Review – Rethinking Housing Bubbles
Bell, Peter Newton, (2014)
-
Choosing put option parameters based on quantiles from the distribution of portfolio value
Bell, Peter Newton, (2014)
- More ...