Portfolio risk management in a data-rich environment
Year of publication: |
2012
|
---|---|
Authors: | Bouaddi, Mohammed ; Taamouti, Abderrahim |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 26.2012, 4, p. 469-494
|
Subject: | Portfolio weights modeling | Factor analysis | Principal components | Portfolio performance | Value-at-risk | Expected shortfall | Downside probability | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikomanagement | Risk management | Faktorenanalyse | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
-
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F., (2015)
-
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda, (2023)
-
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie, (2018)
- More ...
-
Portfolio selection in a data-rich environment
Bouaddi, Mohammed, (2013)
-
Portfolio risk management in a data-rich environment
Bouaddi, Mohammed, (2012)
-
Portfolio selection in a data-rich environment
Bouaddi, Mohammed, (2013)
- More ...