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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Measurement"
~subject:"Portfolio selection"
~type:"article"
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Search: subject_exact:"Value at risk"
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Measurement
Portfolio selection
Risikomaß
46
Risk measure
46
Theorie
27
Theory
27
Portfolio-Management
22
Risiko
16
Risk
16
Risikomanagement
15
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Chen, Yanhong
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Hu, Yijun
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Rudloff, Birgit
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Ararat, Çağin
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Auer, Benjamin R.
1
Bianchi, Michele Leonardo
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1
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
156
Journal of banking & finance
87
European journal of operational research : EJOR
72
Journal of risk
67
Risks : open access journal
55
Finance research letters
46
Quantitative finance
37
International review of financial analysis
33
Economic modelling
32
The North American journal of economics and finance : a journal of financial economics studies
30
Journal of risk and financial management : JRFM
29
Finance and stochastics
26
The journal of risk model validation
25
Journal of economic dynamics & control
23
Applied economics
22
The European journal of finance
22
Computational economics
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21
Mathematics of operations research
21
International review of economics & finance : IREF
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Journal of empirical finance
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Operations research
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Scandinavian actuarial journal
19
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Research in international business and finance
17
Journal of international financial markets, institutions & money
16
Operations research letters
16
The journal of asset management
16
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
International journal of forecasting
14
Journal of econometrics
14
Journal of mathematical finance
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
13
Journal of forecasting
13
Journal of risk management in financial institutions
13
The journal of credit risk : published quarterly by Incisive Media
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Applied economics letters
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Energy economics
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Journal of financial econometrics
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ECONIS (ZBW)
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Dynamic mean-variance portfolios with risk budget
Luo, Sheng-Feng
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270888
Saved in:
3
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
Saved in:
4
Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
5
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
6
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
7
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Saved in:
8
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
9
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
10
Set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012270994
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