233020 (E10) A stochastic asset model using vector auto-regression: Wright I.D.,City University London, Department of Actuarial Science and Statistics, Actuarial Research Paper No. 108, February 1998

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 88 KB
• Volume: 23
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(98)90043-9

✦ Synopsis

Implications of these results for investment in risk mitigation measures are briefly explored.