How to apply Tail Value at Risk over multiple time steps avoiding accumulation of conservatism and extra parameters

Research output: Contribution to conference › Paper

Original language	Undefined
Pages	-
Publication status	Published - 15 Jul 2008
Event	The Bachelier Finance Society World Congress - London, UK Duration: 15 Jul 2008 → 19 Jul 2009

Conference	The Bachelier Finance Society World Congress
City	London, UK
Period	15/07/08 → 19/07/09

Keywords

@conference{eb5ce3263e2a40479b6ff67c7535f686,

title = "How to apply Tail Value at Risk over multiple time steps avoiding accumulation of conservatism and extra parameters",

keywords = "METIS-252924",

author = "Berend Roorda and J.M. Schumacher",

year = "2008",

month = jul,

day = "15",

language = "Undefined",

pages = "--",

note = "The Bachelier Finance Society World Congress ; Conference date: 15-07-2008 Through 19-07-2009",

}