Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
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DOI: 10.1080/14697680400000017
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References listed on IDEAS
- Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
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Cited by:
- Truc Le & Eckhard Platen, 2006.
"Approximating the Growth Optimal Portfolio with a Diversified World Stock Index,"
Research Paper Series
180, Quantitative Finance Research Centre, University of Technology, Sydney.
- Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney.
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