PRINCIPAL COMPONENT VALUE AT RISK

Raymond Brummelhuis, Antonio Cordóba, Maite Quintanilla and Luis Seco
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Raymond Brummelhuis: Université de Reims, Département de Mathématiques, UPESA 6065, BP 1039, 51687 Reims Cédex, France
Antonio Cordóba: Universidad autónoma de Madrid, Departamento de Matematicas, Madrid, Spain
Maite Quintanilla: University of Toronto, Department of Mathematics and Risklab, 100 St. George Street, Toronto ON M5S 3G3, Canada
Luis Seco: University of Toronto, Department of Mathematics and Risklab, 100 St. George Street, Toronto ON M5S 3G3, Canada

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 541-545

Abstract: No abstract received.

Date: 2000
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DOI: 10.1142/S0219024900000528

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