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Titlebook: Computational Methods in Financial Engineering; Essays in Honour of Erricos J. Kontoghiorghes,Berç Rustem,Peter Winker Book 2008 Springer-

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楼主: Hermit
发表于 2025-4-1 03:45:15 | 显示全部楼层
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)ow that EE-VaR has fewer violations than historical VaR. Further, there are substantial savings in risk capital with EE-VaR at 99% as compared to historical VaR corrected by a factor of 3 to satisfy the violation bound. The efficiency of EE-VaR arises because an implied VaR estimate responds quickly
发表于 2025-4-1 09:05:04 | 显示全部楼层
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Madvantage in modelling is exploited by the optimization algorithm to identify portfolios with higher expected return given a fixed VaR constraint. However, adjusting the portfolio to the dynamic approximations of the conditional volatility structure also results in some overconfidence with regard to
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