Value-at-risk under ambiguity aversion
Abstract This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall (ES), the...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2018-06-01
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| Series: | Financial Innovation |
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| Online Access: | http://link.springer.com/article/10.1186/s40854-018-0095-z |