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2007 Enterprise Risk Management Symposium: Integrated Risk Measurement for Portfolio of Various Assets at Continuous Time Horizons
National University of Singapore, Singapore June 17, 2007 ∗The authors are grateful to Mr. Zong Jianping ... world the process is dFx = (r − rf)Fxdt+ σxFxdWt (17) 13 where r is the domestic risk-free rate , ...- Authors: Ng Kah Hwa
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Portfolio management - ERM; Enterprise Risk Management>Risk measurement - ERM