Asymptotic Optimization of Risk Measures
Value-at-Risk (VaR ) is an industrial standard for monitoring market risk in an investment portfolio. It measures potential osses within a given confidence level. VaR was first used by major financial institutions in the early 1990’s, and widely developed after the release of J.P. Morgan’s Riskm...
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| Format: | Others |
| Language: | en_ca |
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2008
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| Online Access: | http://hdl.handle.net/1807/11248 |