Nested simulation in portfolio risk measurement
Michael B. Gordy; Sandeep Juneja
| Year of publication: |
2010
|
|---|---|
| Authors: | Gordy, Michael B. ; Juneja, Sandeep |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 56.2010, 10, p. 1833-1848
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Derivat | Derivative | Simulation |
| 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/10008701411