Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008
allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … asset
allocation problems, Value-at-Risk and time series models. The paper is
complemented with an extensive simulation … consider
the asset allocation problem with non-Gaussian asset returns. Secondly, we
discuss the peculiarities of the Value-at-Risk …