Zero Sum Games
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Hi! does anyone know some literature about improving Value at Risk Methods with 0-sum games Theory ??
|05/09/2002 04:05 AM by julien; Value at Risk improved with 0-sum Games Theory|
I am a graduating student who heard about improving Value At Risk methods by a "new" way of understanding the Financial Risk. The model would be a 0-sum game between the investor and the market, and would enable me to implement more robust risk valuations (sub-additivity, etc.) [Manage messages]