On Value-at-Risk and Expected Shortfall of Financial Asset with Stochastic Pricing.
Maxim FominSergey ShorokhovPublished in: ICUMT (2018)
Keyphrases
- financial markets
- risk management
- black scholes
- financial risk
- stock market
- portfolio selection
- portfolio optimization
- sharpe ratio
- risk neutral
- early warning
- portfolio theory
- portfolio management
- stock price
- risk averse
- opportunity cost
- financial crisis
- risk analysis
- asset allocation
- decision making
- decision support system
- risk assessment
- credit risk
- high risk
- risk measures
- stochastic programming
- chance constraints
- investment decisions
- investment strategies
- financial institutions
- chance constrained
- risk factors
- trading strategies
- financial services
- exchange rate
- optimal portfolio
- monte carlo