A stochastic dominance approach to financial risk management strategies
Year of publication: |
August 2015
|
---|---|
Authors: | Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; Maasoumi, Esfandiar ; Pérez Amaral, Teodosio |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 472-485
|
Subject: | Stochastic dominance | Value-at-Risk | Daily capital charges | Violation penalties | Optimizing strategy | Basel III Accord | VIX futures | Global financial crisis | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Welt | World |
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