Emmer, S. and Kluppelberg, C. (2004) Optimal portfolios when stock prices follow an exponential Levy process. Finance and Stochastics 8 (1), 17-44. Home/Search Document Details and Download
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On the Distribution Tail of an Integrated Risk.. - Brokate.. Self-citation (Kl) (Correct)
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Emmer, S. and Kluppelberg, C. (2004) Optimal portfolios when stock prices follow an exponential Levy process. Finance & Stochastics 8, 17-44.
Risk Management with Extreme Value Theory - Klüppelberg (2002) Self-citation (Kl) (Correct)
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Emmer, S. and Kluppelberg, C. (2001) Optimal portfolios when stock prices follow an exponential Levy process. Preprint. Munich University of Technology. www.ma.tum.de/stat/
A Geometric Approach to Portfolio Optimization in Models.. - Kabanov, Klüppelberg Self-citation (Kl) (Correct)
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Emmer, S., Kluppelberg, C.: Optimal portfolios when stock prices follow an exponential Levy process. Preprint Munich University of Technology (2001). Submitted for publication. Available at www.ma.tum.de/stat/
Risk Management with Extreme Value Theory - Klüppelberg (2002) Self-citation (Kl) (Correct)
.... 0. 5 Optimal portfolios with bounded VaR In this section we investigate the in uence of large uctuations and the Value at Risk as a risk measure, which is sensitive to such price behaviour to portfolio optimisation. It is based on Emmer, Kl uppelberg and Korn [35] and Emmer and Kl uppelberg [34] Starting with the traditional Black Scholes model, where stock prices follow a geometric Brownian motion we rst study the di erence between the classical risk measure, i.e. the variance, and the VaR. Since the variance of Brownian motion increases linearly, the use of the variance as a risk ....
....result to approximate quantiles of E( b L(T ) We do this in two steps: rstly, we approximate E( b L(T ) secondly, we use that convergence of dfs implies also convergence of their generalized inverses. This gives the approximation of the quantiles. Theorem 5.20. Emmer and Kl uppelberg [34]] Let Y be any L evy process with L evy measure . Let E (exp(Y ( Z( be such that EZ( exp Y ( with characteristic triplets given in Lemma 5.15. Let furthermore, be de ned as in (5.33) and Y and Z as L in (5.37) respectively. Let V be a L evy process. Equivalent are ....
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Emmer, S. and Kluppelberg, C. (2001) Optimal portfolios when stock prices follow an exponential Levy process. Preprint. Munich University of Technology. www.ma.tum.de/stat/
Optimal Investment for Insurers, When the Stock Price Follows.. - Kostadinova (2005) (Correct)
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Emmer, S. and Kluppelberg, C. (2004) Optimal portfolios when stock prices follow an exponential Levy process. Finance and Stochastics 8 (1), 17-44.
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