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Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices · Study

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PreprintValue-at-Risk Based Risk Management: Optimal Policies and Asset Prices

Suleyman Basak2000

OA

Preprintgreen2000

Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices

Suleyman Basak · Alex Shapiro

204 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1999Coherent Measures of Risk 1978Asset Prices in an Exchange Economy 1952Safety First and the Holding of Assets 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1997An Overview of Value at Risk 1996Value at risk: the new benchmark for controlling market risk

Cited by

2007Incentives and risk taking in hedge funds 2000A Cat Bond Premium Puzzle?2000Optimal Portfolio Choice Under Loss Aversion 2003Backtesting Value-at-Risk: A Duration-Based Approach 2007The Risks of Financial Institutions 2005The Risks of Financial Institutions 2005The Risks of Financial Institutions

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Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations204

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.204390

openalex_workW2143157127

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2002The Mismeasurement of Risk