Risk, theory, reflection: Limitations of the stochastic model of ...
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1 Risk, theory, reflection: Limitations of the stochastic model of uncertainty in financial risk analysis Barry du Toit Principal Quantitative Analyst RiskWorX June 2004 1. Introduction 2. Investment risk and uncertainty 3. The development of modern risk analysis: some Kuhnian insights 3.1. How paradigms develop 3.2. Two paradigmatic events 3.2.1. Markowitz: Standard deviation as the measure of risk 3.2.2. Black-Scholes: Geometric Brownian motion as the model of risk 4.
Voir
- portfolio
- development of modern risk analysis
- strike price
- share
- measure
- standard deviation
- return
- risk
- model
- uncertainty
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