Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
Optimization, Value-at-
Risk, Model Adequacy
Non-technical summary
Assumptions about the dynamic and … optimal portfolio weights by solving (11), but then use the portfolio’s
Value{at{Risk (VaR) as a risk measure in comparing the … considerably, as we will see below.
Value{at{Risk Coverage
Using „p;t and p;t, we are able to calculate the Value{at{Risk of the …