A direct approach to risk approximation for vast portfolios...

TEST 2013 / 11 Vol. 22; Iss. 4

A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data

Xin-Bing Kong
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Volume:
22
Language:
english
DOI:
10.1007/s11749-013-0337-3
Date:
November, 2013
File:
PDF, 752 KB
english, 2013
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