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Asset Price Dynamics with Value-at-Risk Constrained Traders

Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only by reference to historical data. These systems fail to take into account the feedback effect in which trading decisions impinge on prices. We investiga...

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Bibliographic Details
Authors and Corporations: Danielsson, Jon (Author), Zigrand, Jean-Pierre (Other), Shin, Hyun Song (Other)
Other Authors: Zigrand, Jean-Pierre , Shin, Hyun Song
Type of Resource: E-Book
Language: Undetermined
[S.l.] SSRN [2010]
Source: Verbunddaten SWB
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