Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils; … - In: Journal of Financial Transformation 28 (2010), pp. 109-116
-at-Risk (LVaR). The model presented in this paper offers an alternative to Almgren and Chriss’s mean-variance approach (1999 and … employed in stochastic programming. Consequently, the SP LVaR presented in this paper can be considered as a non … that the LVaR figures are quite similar for both approaches when all the underlying financial assumptions are identical …