Asset Price Dynamics with Value-at-Risk Constrained Traders

   Daníelsson, J., H. Shin, and J.-P. Zigrand (2002). Asset price dynamics with value-at-risk constrained traders.

Download paper

@ARTICLE{DanielssonShinZigrand2002ww,
 author =  {J{\'o}n Dan{\'\i}elsson  and Hyun Shin and Jean--Pierre
                 Zigrand},
 title =   {Asset Price Dynamics with Value-at-Risk Constrained
                 Traders},
 year =    2002,
 url =    {https://ssrn.com/abstract=302307},
}