Showing 1 - 10 of 2,645
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10011386148
Persistent link: https://www.econbiz.de/10014432749
Persistent link: https://www.econbiz.de/10000549839
Persistent link: https://www.econbiz.de/10000905447
Persistent link: https://www.econbiz.de/10000911572
Persistent link: https://www.econbiz.de/10000922088
Persistent link: https://www.econbiz.de/10000682685
Persistent link: https://www.econbiz.de/10001305356
Persistent link: https://www.econbiz.de/10001379221
Persistent link: https://www.econbiz.de/10001355558