restrain
发表于 2025-3-28 16:48:55
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镶嵌细工
发表于 2025-3-28 21:14:47
https://doi.org/10.1007/978-3-030-72961-5ize of the capital requirement is determined by the value-at-risk (VaR) of the portfolio. The VaR exposure is determined through a customary set of tests under a procedure referred to as . This is the subject of this chapter. Eight standard backtests are discussed and applied to historically optimiz
群居男女
发表于 2025-3-29 01:39:12
U. Hacker-Klom,W. Göhde,J. Schumannical and dynamic optimization, adding the stocks significantly improves the price performance of minimum risk portfolios by reducing the value-at-risk of the portfolios. The reverse holds for the tangent portfolio optimizations, under which adding the stocks dramatically worsens the value-at-risk an
性学院
发表于 2025-3-29 03:41:07
U. Hacker-Klom,W. Göhde,J. Schumanners the potential to detect structural breaks in a time series and forecast potential distressed market periods. Each risky asset in a portfolio contributes to the overall risk of a portfolio through the asset’s inherent risk as well as the weight assigned to it. Factor analysis is used to identify
Collision
发表于 2025-3-29 07:21:10
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PUT
发表于 2025-3-29 12:59:26
F. J. Otto,H. Oldiges,V. K. Jaine underlying asset, hence a model for pricing options must couple innately to the model for the underlying asset price. This chapter details option pricing based upon a so-called double subordination price model for the asset. Subordination models offer the ability to include more of the stylized fa
Jogging
发表于 2025-3-29 18:38:10
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碎石头
发表于 2025-3-29 23:24:41
Martino Grandolfo,Paolo Vecchiater develops the theory of ESG-valued option pricing using binomial trees employing discrete (rather than continuous) ESG-valued returns. Call option prices are developed using different domestic REIT tangent portfolios as the underlying and their values compared under changes of the ESG affinity pa
魔鬼在游行
发表于 2025-3-30 01:06:59
Front Mattero choose what is best suited for his/her class. Specifically the following alternatives are available: (a) A one-year course on "Measure and Integration" utilizing Chapters 1 (Sections l. l-1. 3 and 1. 6), 2, 3, 4, portions of 5 (information on Lp spaces), and portions of 7 (left to the discretion o
Anal-Canal
发表于 2025-3-30 04:16:02
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