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subject:"Basler Akkord"
subject:"Kreditgeschäft"
~person:"Martellini, Lionel"
~person:"Pérez Amaral, Teodosio"
~subject:"3-Month variance futures"
~subject:"Portfolio-Management"
~type_genre:"Article in journal"
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Basler Akkord
Kreditgeschäft
3-Month variance futures
Portfolio-Management
Risikomanagement
11
Risk management
11
Portfolio selection
10
Basel Accord
3
Daily capital charges
3
Financial crisis
3
Finanzkrise
3
Global financial crisis
3
Risikomaß
3
Risk measure
3
Theorie
3
Theory
3
Volatility
3
Volatilität
3
Welt
3
World
3
Estimation
2
Forecasting model
2
Optimizing strategy
2
Prognoseverfahren
2
Risiko
2
Risk
2
Schätzung
2
Value-at-Risk (VaR)
2
Violation penalties
2
12-Month variance futures
1
2005-2012
1
ARCH model
1
ARCH-Modell
1
Aggressive or conservative risk management strategies
1
Asset management
1
Bank risk
1
Bankrisiko
1
Basel II Accord
1
Basel III Accord
1
Derivat
1
Derivative
1
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Article
10
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Article in journal
Aufsatz in Zeitschrift
10
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Working Paper
5
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4
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4
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English
10
Author
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Martellini, Lionel
Pérez Amaral, Teodosio
Wang, Ruodu
15
Fabozzi, Frank J.
11
Hammoudeh, Shawkat
11
Mao, Tiantian
9
Alexander, Gordon J.
8
Rösch, Daniel
8
Baptista, Alexandre M.
7
Guillén, Montserrat
7
Jacobs, Michael <Jr.>
7
Janabi, Mazin A. M. al
7
Tan, Ken Seng
7
Yang, Fan
7
Bhansali, Vineer
6
Chen, An
6
Embrechts, Paul
6
Kakushadze, Zura
6
Mitra, Sovan
6
Righi, Marcelo Brutti
6
Rüschendorf, Ludger
6
Zhu, Shushang
6
Chen, Zhiping
5
Godin, Frédéric
5
Hamerle, Alfred
5
Li, Duan
5
McAleer, Michael
5
Mensi, Walid
5
Migueis, Marco
5
Ozdemir, Bogie
5
Regis, Luca
5
Satchell, Stephen
5
Schulte-Mattler, Hermann
5
Van Vuuren, Gary
5
Vanduffel, Steven
5
Wilkens, Sascha
5
Acharya, Viral V.
4
Arora, Anju
4
Bernard, Carole
4
Bolton, Patrick
4
Boonen, Tim J.
4
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The North American journal of economics and finance : a journal of financial economics studies
2
The journal of alternative investments
2
The journal of portfolio management : a publication of Institutional Investor
2
International review of economics & finance : IREF
1
Journal of econometrics
1
The journal of fixed income
1
The journal of portfolio management : JPM
1
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ECONIS (ZBW)
10
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1
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10
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10
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1
Risk parity and beyond : from asset allocation to risk allocation decisions
Deguest, Romain
;
Martellini, Lionel
;
Meucci, Attilio
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 108-135
Persistent link: https://www.econbiz.de/10013175525
Saved in:
2
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain
;
Fabozzi, Frank J.
;
Martellini, Lionel
; …
- In:
The journal of fixed income
28
(
2018
)
1
,
pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
Saved in:
3
Factor investing and risk allocation : from traditional to alternative risk premia harvesting
Maeso, Jean-Michel
;
Martellini, Lionel
- In:
The journal of alternative investments
20
(
2017
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10011745094
Saved in:
4
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
5
Toward conditional risk parity : improving risk budgeting techniques in changing economic environments
Martellini, Lionel
;
Milhau, Vincent
;
Tarelli, Andrea
- In:
The journal of alternative investments
18
(
2015/16
)
1
,
pp. 48-64
Persistent link: https://www.econbiz.de/10011307950
Saved in:
6
Risk allocation : a new investment paradigm?
Amenc, Noël
;
Martellini, Lionel
- In:
The journal of portfolio management : a publication of …
40
(
2014
)
2
,
pp. 1-4
Persistent link: https://www.econbiz.de/10010366288
Saved in:
7
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
8
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
International review of economics & finance : IREF
27
(
2013
),
pp. 97-111
Persistent link: https://www.econbiz.de/10009740861
Saved in:
9
Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 250-265
Persistent link: https://www.econbiz.de/10010365769
Saved in:
10
Asset-liability management in private wealth management
Amenc, Noël
;
Martellini, Lionel
;
Milhau, Vincent
; …
- In:
The journal of portfolio management : a publication of …
36
(
2009/10
)
1
,
pp. 100-120
Persistent link: https://www.econbiz.de/10003909597
Saved in:
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