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- W2384159129 abstract "We obtain the optimal dynamic trading strategy of the mean-VaR model in a continuous-time financial market.Based on the obtained solutions,we investigate the role of the probability and quantile risk measure for managing risk.Our results show that the investor can benefit more from controlling the loss probability than controlling the loss magnitude from the perspective of managing risk.We also find that the higher the confidence level,the better the VaR impact on risk regulation." @default.
- W2384159129 created "2016-06-24" @default.
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- W2384159129 date "2010-01-01" @default.
- W2384159129 modified "2023-09-25" @default.
- W2384159129 title "An Analysis of Financial Risk Measurement in Managing Risk" @default.
- W2384159129 hasPublicationYear "2010" @default.
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