Dynamic asset allocation under VaR constraint with stochastic interest rates
Donatien Hainaut
| Year of publication: |
2009
|
|---|---|
| Authors: | Hainaut, Donatien |
| Published in: |
Annals of operations research. - Dordrecht, The Netherlands : Springer Nature B.V., ISSN 0254-5330, ZDB-ID 252629-3. - Vol. 172.2009, p. 97-117
|
| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Zins | Interest rate | Hedging | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model |
| Extent: | graph. Darst. |
|---|---|
| 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/10003934263