A linearized value-at-risk model with transaction costs and short selling
Jing-Rung Yu; Wan-Jiun Paul Chiou; Da-Ren Mu
| Year of publication: |
2015
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|---|---|
| Authors: | Yu, Jing-Rung ; Chiou, Wan-jiun Paul ; Mu, Da-Ren |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 247.2015, 3 (16.12.), p. 872-878
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| Subject: | VaR | Linearized model | Short-sales | Transaction costs | Transaktionskosten | Risikomaß | Risk measure | Leerverkauf | Short selling | Portfolio-Management | Portfolio selection | Wertpapierhandel | Securities trading | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011386345