76128 Karlsruhe, DE 76128
University of Karlsruhe
in Total Papers Downloads
Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization
tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk
momentum strategy, reward-risk measure, classical tempered stable distribution
Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment
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