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...
|Authors and Corporations:||, ,|
|Other Authors:||Zigrand, Jean-Pierre , Shin, Hyun Song|
|Type of Resource:||E-Book|
[S.l.] SSRN