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subject:"Hedging"
~person:"Cai, Jun"
~person:"Mora-Valencia, Andrés"
~person:"Nguyen, Duc Khuong"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"Portfolio-Theorie"
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Hedging
Risikomaß
Portfolio selection
36
Portfolio-Management
36
Risk measure
19
Theorie
12
Theory
12
Capital income
11
Kapitaleinkommen
11
Aktienmarkt
8
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8
Risk
8
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8
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7
ARCH-Modell
7
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7
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7
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6
Messung
6
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6
VAR-Modell
6
Backtesting
5
Europa
5
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5
Commodity derivative
4
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4
Oil price
4
Rohstoffderivat
4
Schätzung
4
Statistical distribution
4
Statistische Verteilung
4
Value-at-risk
4
Ölpreis
4
Ausreißer
3
Börsenkurs
3
China
3
Diversification
3
Diversifikation
3
Expected shortfall
3
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3
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22
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Article in journal
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22
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1
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1
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22
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Cai, Jun
Mora-Valencia, Andrés
Nguyen, Duc Khuong
Hammoudeh, Shawkat
28
Wang, Ruodu
18
Mensi, Walid
16
Kang, Sang Hoon
15
Tiwari, Aviral Kumar
15
McAleer, Michael
14
Righi, Marcelo Brutti
13
Bouri, Elie
12
Fabozzi, Frank J.
12
Janabi, Mazin A. M. al
11
Rüschendorf, Ludger
11
Vanduffel, Steven
11
Lien, Da-hsiang Donald
10
Mao, Tiantian
10
Rosazza Gianin, Emanuela
10
Dhaene, Jan
9
Ghorbel, Ahmed
9
Melʹnikov, Aleksandr V.
9
Müller, Fernanda Maria
9
Uryasev, Stan
9
Bernard, Carole
8
Guesmi, Khaled
8
Ur Rehman, Mobeen
8
Zhu, Shushang
8
Barbi, Massimiliano
7
Brandtner, Mario
7
Härdle, Wolfgang
7
Kim, Young Shin
7
Li, Duan
7
Pérez Amaral, Teodosio
7
Tan, Ken Seng
7
Tang, Qihe
7
Umar, Zaghum
7
Van Vuuren, Gary
7
Abakah, Emmanuel Joel Aikins
6
Alexander, Gordon J.
6
Chen, Zhiping
6
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Economic modelling
3
Insurance / Mathematics & economics
3
Finance research letters
2
Applied economics
1
Emerging markets review
1
European business review : EBR ; the official journal of the International Management Centres, Europe
1
Finance and stochastics
1
International review of financial analysis
1
Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Research in international business and finance
1
Risk management : a journal of risk, crisis and disaster
1
Scandinavian actuarial journal
1
The European journal of finance
1
The engineering economist : a journal devoted to the problems of capital investment
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The world economy : the leading journal on international economic relations
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ECONIS (ZBW)
22
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1
Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
León-Camacho, Bernardo
;
Mora-Valencia, Andrés
; …
- In:
The engineering economist : a journal devoted to the …
67
(
2022
)
3
,
pp. 218-233
Persistent link: https://www.econbiz.de/10013362736
Saved in:
2
Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Malek, Jiri
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
;
Quang …
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10014472966
Saved in:
3
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
4
Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
Saved in:
5
Semi-nonparametric risk assessment with cryptocurrencies
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Research in international business and finance
59
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013410827
Saved in:
6
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
Cai, Jun
;
Wang, Ying
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 329-349
Persistent link: https://www.econbiz.de/10012622397
Saved in:
7
Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
International review of financial analysis
70
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012318296
Saved in:
8
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna
;
Cai, Jun
- In:
Insurance / Mathematics & economics
85
(
2019
),
pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
Saved in:
9
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
The European journal of finance
25
(
2019
)
17
,
pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
Saved in:
10
Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011969153
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