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subject:"Hedging"
~person:"Nguyen, Duc Khuong"
~person:"Vanduffel, Steven"
~subject:"Kapitaleinkommen"
~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
Kapitaleinkommen
Risikomaß
Portfolio selection
44
Portfolio-Management
44
Theorie
19
Theory
19
Risk measure
15
Capital income
10
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9
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9
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8
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8
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6
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1
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25
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Nguyen, Duc Khuong
Vanduffel, Steven
Zaremba, Adam
33
Hammoudeh, Shawkat
29
Auer, Benjamin R.
19
Tiwari, Aviral Kumar
19
Kang, Sang Hoon
18
Mensi, Walid
18
Wang, Ruodu
18
Fabozzi, Frank J.
17
McAleer, Michael
17
Lien, Da-hsiang Donald
15
Wong, Wing Keung
15
Bouri, Elie
14
Satchell, Stephen
14
Grobys, Klaus
13
Guidolin, Massimo
13
Righi, Marcelo Brutti
13
Sehgal, Sanjay
12
Zhou, Guofu
12
Clare, Andrew D.
11
Janabi, Mazin A. M. al
11
Kakushadze, Zura
11
Mao, Tiantian
11
Rüschendorf, Ludger
11
Shahzad, Syed Jawad Hussain
11
Ur Rehman, Mobeen
11
Van Vuuren, Gary
11
Fletcher, Jonathan
10
Rosazza Gianin, Emanuela
10
Schaub, Mark
10
Schuhmacher, Frank
10
Yoon, Seong-min
10
Bali, Turan G.
9
Bernard, Carole
9
Dai, Zhifeng
9
Dhaene, Jan
9
Ghorbel, Ahmed
9
Kryzanowski, Lawrence
9
Lo, Andrew W.
9
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Economic modelling
3
Insurance / Mathematics & economics
2
Scandinavian actuarial journal
2
Applied economics
1
Economics letters
1
Emerging markets review
1
Energy policy
1
European business review : EBR ; the official journal of the International Management Centres, Europe
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Finance research letters
1
International journal of theoretical and applied finance
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Journal of banking & finance
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Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Review of quantitative finance and accounting
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The European journal of finance
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The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
25
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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
Optimal strategies under Omega ratio
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
European journal of operational research : EJOR
275
(
2019
)
2
,
pp. 755-767
Persistent link: https://www.econbiz.de/10011993573
Saved in:
7
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:
8
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:
9
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:
10
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
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