Asset Allocation in a Texable Environment: The Case of NucLear Decommissioning Trusts
|Year of publication:||
|Authors:||Meehan, James P. ; Yoo, Daihyun ; Fong, H.Gifford|
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 49.1993, 6, p. 67-73
Meehan, James P., (1995)
Yoo, Daihyun, (1987)
A New Analytical Approach to Value at Risk - These authors describe an approach to calculating value at risk that directly investigates the relationship between the VaRs of the derivative and the underlying. The method gives exact and explicit formulas for plain-vanilla options, such as calls and puts, and provides algorithms for more exotic options. At the portfolio level, the approach is said to ...
Fong, H.Gifford, (1999)
- More ...