asset and derivative pricing models, and Value-at-Risk (VaR) calculations depend on accurate assessments of the distribution …

characteristics of optimal portfolios and risk control to establish the components' weights. We present the minimum risk indices using … a Value-at-Risk (VaR) minimization problem and prove that they have less risk than current market indices, and that in …

This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of … applications. As the threshold is treated as a parameter, the uncertainty from its estimation is accounted for, which is a …