THE GLUEVAR RISK MEASURE AND INVESTOR’S ATTITUDES TO RISK– AN APPLICATION TO THE NON-FERROUS METALS MARKET

Dominik Krężołek ()
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Dominik Krężołek: University of Economics in Katowice.

Statistics in Transition New Series, 2016, vol. 17, issue 2, 305-316

Abstract: Investing in the economic world, characterized by a high level of uncertainty and volatility, entails a higher level of risk...

Keywords: risk; metal market; subadditivity; VaR; GlueVaR (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:exl:29stat:v:17:y:2016:i:2:p:305-316

DOI: 10.21307/stattrans-2016-021

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