𝔖 Bobbio Scriptorium
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Optimal portfolios with minimum capital requirements

✍ Scribed by André A.P. Santos; Francisco J. Nogales; Esther Ruiz; Dick Van Dijk

Book ID
116616046
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
456 KB
Volume
36
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.

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Minimum capital requirement calculations
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✍ John Cotter 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 352 KB

## Abstract Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high‐frequency UK futures realizations underpinned by a continuous time framework. Squared and ab