|
|||||
|
|
An optimization process in Value‐at‐Risk estimation |
|
| Authors: | Alex YiHou Huang |
| Institution: | Department of Finance, Yuan Ze University, 135 Yuan‐Tung Road, Chung‐Li, Taoyuan 320, Taiwan, ROC |
| Abstract: | |
| Keywords: | G10 G17 G32 C22 Value‐at‐Risk Optimization Back‐testing Monte Carlo simulation |