Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils; … - In: Journal of Financial Transformation 28 (2010), pp. 109-116
employed in stochastic programming. Consequently, the SP LVaR presented in this paper can be considered as a non-parametric … approach, which is in contrast to Almgren and Chriss’s parametric solution. Initially, a set of numerical experiments indicates …