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~isPartOf:"Journal of risk"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Portfolio selection"
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Search: subject:"Expected Shortfall"
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Portfolio selection
Risikomaß
188
Risk measure
188
Portfolio-Management
82
Risk management
63
Risikomanagement
62
Theorie
52
Theory
52
ARCH model
47
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47
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Schätzung
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value-at-risk (VaR)
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Kang, Sang Hoon
4
Mensi, Walid
4
Al-Jarrah, Idries Mohammad Wanas
3
Al-Yahyaee, Khamis Hamed
3
Hammoudeh, Shawkat
3
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2
Boudt, Kris
2
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1
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Journal of risk
The North American journal of economics and finance : a journal of financial economics studies
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Risks : open access journal
44
Finance research letters
39
Quantitative finance
34
Economic modelling
31
International review of financial analysis
28
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
International journal of theoretical and applied finance
22
Applied economics
20
Journal of economic dynamics & control
20
The European journal of finance
19
Computational economics
18
Journal of empirical finance
18
The journal of risk model validation
18
Finance and stochastics
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
Operations research
16
International review of economics & finance : IREF
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
Econometric Institute research papers
13
International journal of forecasting
13
Journal of econometrics
13
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
11
Journal of forecasting
11
Journal of risk management in financial institutions
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Mathematics and financial economics
11
Operations research letters
11
Working papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
82
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11
From log-optimal portfolio theory to risk measures : logarithmic
expected
shortfall
Arici, G.
;
Dalai, M.
;
Leonardi, Roberto
- In:
Journal of risk
22
(
2019
)
2
,
pp. 37-58
Persistent link: https://www.econbiz.de/10013177108
Saved in:
12
Estimation window strategies for value-at-risk and
expected
shortfall
forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
13
Estimation risk for value-at-risk and
expected
shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
14
Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach
Zhang, Yue-jun
;
Bouri, Elie
;
Gupta, Rangan
;
Ma, Shu-Jiao
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667384
Saved in:
15
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
16
A numerical approach to the risk capital allocation problem
Gzyl, Henryk
;
Mayoral, Silvia
- In:
Journal of risk
23
(
2021
)
5
,
pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
Saved in:
17
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012821981
Saved in:
18
Optimization of systemic risk : reallocation of assets based on bank networks
Wang, Hu
;
Li, Shouwei
- In:
Journal of risk
23
(
2020/2021
)
3
,
pp. 31-56
Persistent link: https://www.econbiz.de/10012500294
Saved in:
19
Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo
;
Liu, Lan
;
Wang, Da
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
Saved in:
20
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero
;
Vacca, Gianmarco
;
Zoia, Maria Grazia
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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