[R-SIG-Finance] [R-sig-finance] VaR

John Gavin john.b.gavin at gmail.com
Wed Mar 4 12:45:25 CET 2009

Bastian Offermann <bastian2507hk <at> yahoo.co.uk> writes:

> A brief example is given in "Introduction to Modern Portfolio 
> Optimization with NuOPT..." by Bernd Scherer (2005), page 180. That's 
> most probably what you are looking for.
> This might also be useful
> "Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath. 
> Coherent measures
> of risk. Mathematical Finance, pages 203-228 (1999)
> Regards


Fyi, I found 

Coherent Measures of Risk, An Exposition for the Lay Actuary
by Glenn Meyers

to be an easy and worthwhile read on this topic.



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