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subject:"Hedging"
~person:"Nguyen, Duc Khuong"
~person:"Vanduffel, Steven"
~subject:"Börsenkurs"
~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
Börsenkurs
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Portfolio selection
44
Portfolio-Management
44
Theorie
19
Theory
19
Risk measure
15
Capital income
10
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20
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Nguyen, Duc Khuong
Vanduffel, Steven
Hammoudeh, Shawkat
28
Mensi, Walid
21
Tiwari, Aviral Kumar
18
Wang, Ruodu
18
Kang, Sang Hoon
16
McAleer, Michael
16
Fabozzi, Frank J.
14
Righi, Marcelo Brutti
13
Bouri, Elie
12
Zaremba, Adam
12
Janabi, Mazin A. M. al
11
Rüschendorf, Ludger
11
Ur Rehman, Mobeen
11
Dai, Zhifeng
10
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
Platen, Eckhard
9
Uryasev, Stan
9
Wong, Wing Keung
9
Bernard, Carole
8
Guesmi, Khaled
8
Zhu, Shushang
8
Al-Yahyaee, Khamis Hamed
7
Barbi, Massimiliano
7
Brandtner, Mario
7
Demirtas, K. Ozgur
7
Gupta, Rangan
7
Härdle, Wolfgang
7
Kim, Young Shin
7
Li, Duan
7
Mora-Valencia, Andrés
7
Prigent, Jean-Luc
7
Pérez Amaral, Teodosio
7
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2
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2
Applied economics
1
Economics letters
1
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1
Finance and stochastics
1
Finance research letters
1
International journal of theoretical and applied finance
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ECONIS (ZBW)
20
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1
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
2
Robust distortion risk measures
Bernard, Carole
;
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
3
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:
4
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
5
A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
Economics letters
181
(
2019
),
pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
Saved in:
6
Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
Saved in:
7
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
8
Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania
;
Nguyen, Duc Khuong
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
11
,
pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
Saved in:
9
How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
Saved in:
10
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
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