Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
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References listed on IDEAS
- W. Breymann & D. R. Lüthi & E. Platen, 2009.
"Empirical behavior of a world stock index from intra-day to monthly time scales,"
The European Physical Journal B: Condensed Matter and Complex Systems,
Springer;EDP Sciences, vol. 71(4), pages 511-522, October.
- Wolfgang Breymann & David Lüthi & Eckhard Platen, 2009. "Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales," Research Paper Series 250, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kevin Fergusson & Eckhard Platen, 2006.
"On the Distributional Characterization of Daily Log-Returns of a World Stock Index,"
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- Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," INDEM - Working Paper Business Economic Series id-16-01, Instituto para el Desarrollo Empresarial (INDEM).
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-12 (All new papers)
- NEP-BAN-2011-03-12 (Banking)
- NEP-RMG-2011-03-12 (Risk Management)
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