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~isPartOf:"Journal of economic dynamics & control"
~subject:"Insolvenz"
~subject:"Portfolio selection"
~subject:"Verlust"
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Search: subject:"Expected Shortfall"
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Insolvenz
Portfolio selection
Verlust
Risikomaß
34
Risk measure
34
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20
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20
Theory
20
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8
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Alexander, Gordon J.
2
Baptista, Alexandre M.
2
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2
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1
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1
Bu, Di
1
Caccioli, Fabio
1
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1
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1
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1
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1
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Lee, Yong Woong
1
Leippold, Markus
1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of economic dynamics & control
Insurance / Mathematics & economics
111
Journal of banking & finance
79
European journal of operational research : EJOR
66
Journal of risk
58
Risks : open access journal
49
Finance research letters
48
Quantitative finance
37
Economic modelling
33
International review of financial analysis
31
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
International journal of theoretical and applied finance
22
Journal of empirical finance
21
The journal of risk model validation
21
Applied economics
20
Computational economics
19
The European journal of finance
19
Finance and stochastics
17
International review of economics & finance : IREF
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
International journal of forecasting
16
Operations research
16
The journal of operational risk
16
Journal of international financial markets, institutions & money
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
The journal of credit risk : published quarterly by Incisive Media
15
Econometric Institute research papers
13
Journal of econometrics
13
Scandinavian actuarial journal
13
Journal of risk management in financial institutions
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Energy economics
11
Journal of forecasting
11
Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Mathematics and financial economics
11
Operations research letters
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ECONIS (ZBW)
21
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1
Dynamic CVaR portfolio construction with attention-powered generative factor learning
Sun, Chuting
;
Wu, Qi
;
Yan, Xing
- In:
Journal of economic dynamics & control
160
(
2024
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014532506
Saved in:
2
Backtesting macroprudential stress tests
Ramadiah, Amanah
;
Fricke, Daniel
;
Caccioli, Fabio
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-33
Persistent link: https://www.econbiz.de/10013464518
Saved in:
3
Estimating redenomination risk under Gumbel–Hougaard survival copulas
Cherubini, Umberto
- In:
Journal of economic dynamics & control
133
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014535826
Saved in:
4
Quantifying market risk with Value-at-Risk or
Expected
Shortfall
? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
5
Dynamic
expected
shortfall
: a spectral decomposition of tail risk across time horizons
Bu, Di
;
Liao, Yin
;
Shi, Jing
;
Peng, Hongfeng
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
Saved in:
6
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
7
Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
Saved in:
8
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
9
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
Saved in:
10
Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang
;
Fan, Minjie
;
Li, Duan
- In:
Journal of economic dynamics & control
48
(
2014
),
pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
Saved in:
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