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

[John Gavin]

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
> 


Hi,

Fyi, I found 

Coherent Measures of Risk, An Exposition for the Lay Actuary
by Glenn Meyers
http://ur.ly/8Y0

to be an easy and worthwhile read on this topic.

Regards,

John.