Bingham, N. H.; Kiesel, Rudiger; Schmidt, Rafael - In: Quantitative Finance 3 (2003) 6, pp. 426-441
The benchmark theory of mathematical finance is the Black-Scholes-Merton (BSM) theory, based on Brownian motion as the driving noise process for stock prices. Here the distributions of financial returns of the stocks in a portfolio are multivariate normal. Risk management based on BSM...