Estimating Value at Risk by the Discrete Moment Problem
نویسنده
چکیده
The purpose of this paper is to present a method for estimating the value at risk for portfolios consisting of (not necessarily independent) assets with lognormal distribution. Our approach is based on the fact that while the actual distribution of the value of the portfolio might not be known its moments can still be computed. These moments can be used to derive a set of linear constraints on the distribution of a discretization of the portfolio using the discrete moment problem. This in turn provides a possibility to derive lower and upper bounds on the value at risk using linear programming.
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