The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory evaluation of possible...

We analyze a multistage stochastic asset allocation problem with decision rules.

The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations -the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing- do not provide satisfactory evaluation of possible...