Portfolio Value-at-Risk Approximation for Geometric Brownian Motion
Author:
Publisher
Allerton Press
Link
https://link.springer.com/content/pdf/10.3103/S1068362324700067.pdf
Reference8 articles.
1. Ph. Jorion, Value at Risk: The New Benchmark for Managing Financial Risk (McGraw-Hill, 2006).
2. M. Habart-Corlosquet, J. Janssen, and R. Manca, VaR Methodology for Non-Gaussian Finance (Wiley, 2013). https://doi.org/10.1002/9781118733691
3. D. Lien, C. Stroud, and K. Ye, ‘‘Comparing VaR approximation methods that use the first four moments as inputs,’’ Commun. Stat.: Simul. Comput. 45, 491–503 (2016). https://doi.org/10.1080/03610918.2013.863921
4. L. F. Fenton, ‘‘The sum of log-normal probability distributions in scatter transmission systems,’’ IRE Trans. Commun. Syst. 8, 57–67 (1960). https://doi.org/10.1109/tcom.1960.1097606
5. N. A. Marlow, ‘‘A normal limit theorem for power sums of independent random variables,’’ Bell Syst. Tech. J. 46, 2081–2089 (1967). https://doi.org/10.1002/j.1538-7305.1967.tb04244.x
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