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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Risk"
~subject:"Statistical distribution"
~subject:"Theory"
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Search: subject:"Value at Risk"
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Risk
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Risikomaß
46
Risk measure
46
Theorie
27
Portfolio selection
22
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22
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16
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15
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15
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14
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Chen, Yanhong
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Fabozzi, Frank J.
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Hu, Yijun
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Rosazza Gianin, Emanuela
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1
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1
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1
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1
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
204
Journal of banking & finance
116
European journal of operational research : EJOR
92
Risks : open access journal
91
Finance research letters
68
Journal of risk
60
Economic modelling
48
International review of financial analysis
48
International journal of forecasting
47
Quantitative finance
46
Discussion paper / Tinbergen Institute
44
Journal of empirical finance
43
Applied economics
40
Energy economics
37
The journal of risk model validation
35
Journal of risk and financial management : JRFM
32
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32
Journal of econometrics
31
The North American journal of economics and finance : a journal of financial economics studies
30
Computational economics
29
Finance and stochastics
29
Research paper series / Swiss Finance Institute
29
The European journal of finance
29
Scandinavian actuarial journal
28
SFB 649 discussion paper
27
International review of economics & finance : IREF
25
Journal of economic dynamics & control
25
Journal of forecasting
25
Mathematics and financial economics
25
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Mathematics of operations research
24
Astin bulletin : the journal of the International Actuarial Association
23
Journal of financial econometrics
23
Working papers
23
Journal of risk management in financial institutions
22
Operations research letters
22
The journal of credit risk : published quarterly by Incisive Media
22
Operations research
21
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
33
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Set-valued law invariant coherent and convex risk measures
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012019780
Saved in:
10
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:
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