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Portfolio Risk Management with CVAR-Like Constraints
two instruments may be greater than the sum of individual VaRs. To overcome the limitations of the VaR-RM ... of our examples assume no borrowing is allowed. Table 1 summarizes statistics of the annual returns of ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Portfolio management - ERM
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Bounds for Ruin Probabilities and Value at Risk
words it involves not only the variances of the individual asset returns and/or insurance margins but also ... in the compound Poisson approximation of the individual risk model. Insurance: Mathematics and Economics ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods