VaR
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.