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subject:"Hedging"
~person:"Mora-Valencia, Andrés"
~person:"Nguyen, Duc Khuong"
~person:"Rosazza Gianin, Emanuela"
~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
41
Portfolio-Management
41
Risk measure
23
Theorie
19
Theory
19
Risiko
13
Risk
13
Capital income
11
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11
Measurement
10
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10
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8
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8
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8
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8
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7
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7
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5
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5
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5
Commodity derivative
4
Estimation
4
Oil price
4
Rohstoffderivat
4
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4
VAR model
4
VAR-Modell
4
Value-at-risk
4
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4
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3
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3
Diversification
3
Diversifikation
3
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Forecasting model
3
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3
International financial market
3
Internationaler Finanzmarkt
3
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26
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26
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1
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1
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English
26
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Mora-Valencia, Andrés
Nguyen, Duc Khuong
Rosazza Gianin, Emanuela
Hammoudeh, Shawkat
28
Wang, Ruodu
18
Kang, Sang Hoon
15
Mensi, Walid
15
McAleer, Michael
14
Righi, Marcelo Brutti
13
Tiwari, Aviral Kumar
13
Fabozzi, Frank J.
12
Janabi, Mazin A. M. al
11
Rüschendorf, Ludger
11
Vanduffel, Steven
11
Bouri, Elie
10
Lien, Da-hsiang Donald
10
Mao, Tiantian
10
Dhaene, Jan
9
Ghorbel, Ahmed
9
Melʹnikov, Aleksandr V.
9
Müller, Fernanda Maria
9
Uryasev, Stan
9
Guesmi, Khaled
8
Ur Rehman, Mobeen
8
Zhu, Shushang
8
Barbi, Massimiliano
7
Bernard, Carole
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
Van Vuuren, Gary
7
Alexander, Gordon J.
6
Cai, Jun
6
Furman, Edward
6
Karmakar, Madhusudan
6
Kürsten, Wolfgang
6
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Economic modelling
3
Mathematics and financial economics
3
Finance research letters
2
Insurance / Mathematics & economics
2
Applied economics
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Emerging markets review
1
European business review : EBR ; the official journal of the International Management Centres, Europe
1
European journal of operational research : EJOR
1
International journal of theoretical and applied finance
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of the Operational Research Society : OR
1
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1
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1
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1
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ECONIS (ZBW)
26
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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
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:
4
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:
5
Haezendonck-Goovaerts capital allocation rules
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 173-185
Persistent link: https://www.econbiz.de/10012793922
Saved in:
6
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
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
Capital allocation rules and acceptance sets
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 759-781
Persistent link: https://www.econbiz.de/10012321876
Saved in:
9
Time-consistency of risk measures : how strong is such a property?
Mastrogiacomo, Elisa
;
Rosazza Gianin, Emanuela
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 287-317
Persistent link: https://www.econbiz.de/10012065238
Saved in:
10
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
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