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Filtering by: Contributor Blais, Marcel Y. Creator Shen, Chen

Risk Management Project

Keyword:

Value-at-risk, BIC, ARMA-GARCH, Portfolio Optimization, Chi-square test, AIC, Risk Management, and Expected Shortfall

Creator:

Shen, Chen

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences