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subject:"Hedging"
~person:"Mora-Valencia, Andrés"
~person:"Nguyen, Duc Khuong"
~subject:"Risikomaß"
~subject:"Theorie"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"Portfolio-Theorie"
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Hedging
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29
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13
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Mora-Valencia, Andrés
Nguyen, Duc Khuong
Fabozzi, Frank J.
48
Korn, Ralf
29
Hammoudeh, Shawkat
28
Escobar, Marcos
27
Wong, Wing Keung
27
Li, Duan
26
Prigent, Jean-Luc
22
Zagst, Rudi
22
Markowitz, Harry
20
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19
Wong, Hoi Ying
19
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18
Wang, Ruodu
18
Vanduffel, Steven
17
Gollier, Christian
16
McAleer, Michael
16
Post, Thierry
16
Yao, Haixiang
16
Chen, Zhiping
15
Jarrow, Robert A.
15
Kang, Sang Hoon
15
Kwon, Roy H.
15
Levy, Haim
15
Li, Zhongfei
15
Lioui, Abraham
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Mensi, Walid
15
Rüschendorf, Ludger
15
Tiwari, Aviral Kumar
15
Zhou, Guofu
15
Cui, Xiangyu
14
Cvitanić, Jakša
14
Liang, Zongxia
14
Lo, Andrew W.
14
Račev, Svetlozar T.
14
Sass, Jörn
14
Siu, Tak Kuen
14
Auer, Benjamin R.
13
Kim, Woo Chang
13
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13
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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
Statistical arbitrage : factor investing approach
Akyildirim, Erdinc
;
Goncu, Ahmet
;
Hekimoglu, Alper
; …
- In:
OR spectrum : quantitative approaches in management
45
(
2023
)
4
,
pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
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
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:
7
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:
8
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
Janabi, Mazin A. M. al
;
Hernandez, Jose Arreola
; …
- In:
European journal of operational research : EJOR
259
(
2017
)
3
,
pp. 1121-1131
Persistent link: https://www.econbiz.de/10011695589
Saved in:
9
Multivariate approximations to portfolio return distribution
Mora-Valencia, Andrés
;
Ñíguez, Trino-Manuel
;
Perote, …
- In:
Computational and mathematical organization theory
23
(
2017
)
3
,
pp. 347-361
Persistent link: https://www.econbiz.de/10011741979
Saved in:
10
Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach
Hernandez, Jose Arreola
;
Hammoudeh, Shawkat
;
Nguyen, …
- In:
Applied economics
49
(
2017
)
25
,
pp. 2409-2427
Persistent link: https://www.econbiz.de/10011819424
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