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An extension of the theory of risk management measures to
dynamic portfolios. Foreign exchange rates are simulated with
a GARCH model and used to investigate the dynamic behavior
of portfolio managers. The feedback effects of risk management
are also investigated.
Paper was presented at the 6th Annual Meetings of the
Society for Computational Economics in Barcelona July 6-8,
2000
Paper was presented at "State of the art in Value
at Risk" organized by SIRIF in Edinburgh, September 22,
2000
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