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type_genre:"Article in journal"
~isPartOf:"Journal of empirical finance"
~subject:"Portfolio selection"
~type:"article"
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Portfolio selection
Risikomanagement
30
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13
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12
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12
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Allen, David
1
Bernardi, Mauro
1
Bruno, Salvatore
1
Cerrato, Mario
1
Chincarini, Ludwig Boris
1
Crosby, John
1
Daehwan, Kim
1
Fabozzi, Frank J.
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Fries, Christian
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Gouriéroux, Christian
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Satchell, Stephen
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Scaillet, Olivier
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Schuermann, Til
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Seeger, Norman
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Journal of empirical finance
Insurance / Mathematics & economics
98
Journal of banking & finance
57
European journal of operational research : EJOR
52
Risks : open access journal
43
Journal of risk
40
Finance research letters
39
Journal of risk management in financial institutions
30
Quantitative finance
30
The journal of portfolio management : JPM
30
International review of financial analysis
26
The North American journal of economics and finance : a journal of financial economics studies
24
The journal of portfolio management : a publication of Institutional Investor
24
Journal of risk and financial management : JRFM
23
International review of economics & finance : IREF
21
The journal of asset management
20
Economic modelling
18
The journal of investing
17
Energy economics
14
International journal of theoretical and applied finance
14
Journal of investment management : JOIM
14
Applied economics
13
Risiko-Manager
13
Scandinavian actuarial journal
13
The journal of investment strategies
13
Finance and stochastics
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Management science : journal of the Institute for Operations Research and the Management Sciences
11
The European journal of finance
11
The journal of risk model validation
11
Journal of risk finance : the convergence of financial products and insurance
10
Operations research
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The journal of credit risk : published quarterly by Incisive Media
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ASTIN bulletin : the journal of the International Actuarial Association
9
International journal of financial engineering
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Investment management and financial innovations
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Journal of econometrics
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Review of financial economics : RFE
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Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
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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
Modeling hedge fund lifetimes : a dependent competing risks framework with latent exit types
Haghani, Shermineh
- In:
Journal of empirical finance
28
(
2014
),
pp. 291-320
Persistent link: https://www.econbiz.de/10011285627
Saved in:
10
Comoment risk and stock returns
Lambert, M.
;
Hübner, G.
- In:
Journal of empirical finance
23
(
2013
),
pp. 191-205
Persistent link: https://www.econbiz.de/10010221739
Saved in:
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