- Comparison of market risk of an equity asset class measured by Value at Risk and Maximal Loss according to Monte Carlo method with fractional Brownian motion evolution of the price and historical simulation approach
Object's details: Comparison of market risk of an equity asset class measured by Value at Risk and Maximal Loss according to Monte Carlo method with fractional Brownian motion evolution of the price and historical simulation approach
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Studia Ekonomiczne - Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach.
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- Description: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach297ISSN 2083-8611
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- Resource Identifier: oai:reader.digitarium.pcss.pl:269609
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