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subject:"Kapitalanlage"
subject:"Portfolio selection"
~isPartOf:"Journal of empirical finance"
~subject:"ARCH model"
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Kapitalanlage
Portfolio selection
ARCH model
Risikomanagement
32
Risk management
31
Theorie
21
Theory
21
Portfolio-Management
13
Risikomaß
12
Risk measure
12
Risiko
11
Risk
11
Statistical distribution
6
Statistische Verteilung
6
Credit risk
5
Hedging
5
Kreditrisiko
5
Capital income
4
Estimation
4
Extreme value theory
4
Kapitaleinkommen
4
Outliers
4
Schätzung
4
ARCH-Modell
3
Ausreißer
3
CAPM
3
Bank
2
Bank risk
2
Bankrisiko
2
Credit derivative
2
Derivat
2
Derivative
2
Estimation theory
2
Financial crisis
2
Finanzkrise
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Hedge fund
2
Hedgefonds
2
Insolvency
2
Insolvenz
2
Japan
2
Kreditderivat
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15
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15
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15
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English
15
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Allen, David
1
Bernardi, Mauro
1
Bruno, Salvatore
1
Cerrato, Mario
1
Changchien, Chang-Cheng
1
Chen Zhou
1
Chincarini, Ludwig Boris
1
Crosby, John
1
Daehwan, Kim
1
Fabozzi, Frank J.
1
Fries, Christian
1
Gouriéroux, Christian
1
Haghani, Shermineh
1
Hanson, Samuel G.
1
Hübner, G.
1
Kao, Tzu-Chuan
1
Kao, Wei-Shun
1
Kim, Minjoo
1
Lambert, M.
1
Laurent, Jean-Paul
1
Lin, Chu-Hsiung
1
Lizieri, Colin
1
Mainik, Georg
1
Maruotti, Antonello
1
Mitov, Georgi
1
Nigbur, Tobias
1
Ohara, Frank
1
Ortobelli, Sergio
1
Pesaran, M. Hashem
1
Petrella, Lea
1
Račev, Svetlozar T.
1
Rhee, S. Ghon
1
Rüschendorf, Ludger
1
Satchell, Stephen
1
Scaillet, Olivier
1
Schuermann, Til
1
Seeger, Norman
1
Sun, Pengfei
1
Wu, Feng
1
Zhao, Yang
1
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Journal of empirical finance
Insurance / Mathematics & economics
99
Journal of banking & finance
62
European journal of operational research : EJOR
54
Risks : open access journal
47
Finance research letters
41
Journal of risk
41
Wiley finance series
40
Journal of risk management in financial institutions
34
Quantitative finance
31
The journal of portfolio management : JPM
30
International review of financial analysis
29
SpringerLink / Bücher
27
The North American journal of economics and finance : a journal of financial economics studies
26
Energy economics
25
The journal of portfolio management : a publication of Institutional Investor
25
Journal of risk and financial management : JRFM
24
Economic modelling
23
International review of economics & finance : IREF
23
The journal of asset management
20
Research paper series / Swiss Finance Institute
18
The journal of investing
17
Sovereign wealth management
16
The journal of risk model validation
16
Applied economics
15
International journal of theoretical and applied finance
15
Risiko-Manager
15
Springer eBook Collection
15
Journal of investment management : JOIM
14
The European journal of finance
14
The journal of investment strategies
14
Scandinavian actuarial journal
13
Finance and stochastics
12
NBER working paper series
12
The Frank J. Fabozzi series
12
Working papers
12
Central bank reserve management : new trends, from liquidity to return
11
Gabler Edition Wissenschaft
11
Journal of risk finance : the convergence of financial products and insurance
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
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ECONIS (ZBW)
15
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1
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
2
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
3
Portfolio construction and crowding
Bruno, Salvatore
;
Chincarini, Ludwig Boris
;
Ohara, Frank
- In:
Journal of empirical finance
47
(
2018
),
pp. 190-206
Persistent link: https://www.econbiz.de/10012103493
Saved in:
4
Relation between higher order comoments and dependence structure of equity portfolio
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
- In:
Journal of empirical finance
40
(
2017
),
pp. 101-120
Persistent link: https://www.econbiz.de/10011744455
Saved in:
5
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
6
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian
;
Nigbur, Tobias
;
Seeger, Norman
- In:
Journal of empirical finance
42
(
2017
),
pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Saved in:
7
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
8
Beta vs. characteristics : comparison of risk model performances
Daehwan, Kim
- In:
Journal of empirical finance
34
(
2015
),
pp. 156-171
Persistent link: https://www.econbiz.de/10011557085
Saved in:
9
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
10
Diagnosing the distribution of GARCH innovations
Sun, Pengfei
;
Chen Zhou
- In:
Journal of empirical finance
29
(
2014
),
pp. 287-303
Persistent link: https://www.econbiz.de/10011300465
Saved in:
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