Risk factor beta conditional value-at-risk
Year of publication: |
2009
|
---|---|
Authors: | Semenov, Andrei |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 28.2009, 6, p. 549-558
|
Subject: | Betafaktor | Beta risk | Risikomaß | Risk measure | Simulation |
-
Introducing global term structure in a risk parity framework
Stagnol, Lauren, (2017)
-
Post, Thierry, (2009)
-
An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa, (2003)
- More ...
-
Estimation of the consumption CAPM with imperfect sample separation information
Semenov, Andrei, (2008)
-
Disentangling risk aversionand intertemporal substitution through a reference level
Garcia, René, (2006)
-
Departures from rational expectations and asset pricing anomalies
Semenov, Andrei, (2009)
- More ...