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~person:"Fabozzi, Frank J."
~person:"Huschens, Stefan"
~subject:"Estimation theory"
~subject:"Portfolio selection"
~subject:"Risk management"
~type_genre:"Article in journal"
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Estimation theory
Portfolio selection
Risk management
Risikomaß
18
Risk measure
18
Portfolio-Management
10
Theorie
10
Theory
10
Statistical distribution
6
Statistische Verteilung
6
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4
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4
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Fabozzi, Frank J.
Huschens, Stefan
Wang, Ruodu
22
Hammoudeh, Shawkat
20
Righi, Marcelo Brutti
14
McAleer, Michael
13
Mao, Tiantian
12
Cai, Jun
11
Embrechts, Paul
11
Janabi, Mazin A. M. al
11
Rosazza Gianin, Emanuela
11
Rüschendorf, Ludger
11
Mensi, Walid
10
Uryasev, Stan
10
Härdle, Wolfgang
9
Kang, Sang Hoon
9
Mora-Valencia, Andrés
9
Müller, Fernanda Maria
9
Tiwari, Aviral Kumar
9
Vanduffel, Steven
9
Bernard, Carole
8
Boonen, Tim J.
8
Brandtner, Mario
8
Karmakar, Madhusudan
8
Li, Duan
8
Perote, Javier
8
Tang, Qihe
8
Weiß, Gregor
8
Zhu, Shushang
8
Furman, Edward
7
Guillén, Montserrat
7
Kim, Young Shin
7
Li, Jianping
7
Nguyen, Duc Khuong
7
Peng, Liang
7
Puccetti, Giovanni
7
Stoja, Evarist
7
Alexander, Gordon J.
6
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
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6
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
International journal of finance & economics : IJFE
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Review of managerial science
1
Review of quantitative finance and accounting
1
The journal of alternative investments : JAI
1
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ECONIS (ZBW)
10
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1
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10
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1
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
Saved in:
2
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
Saved in:
3
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
4
Portfolio selection in the presence of systemic risk
Biglova, Almira
;
Ortobelli, Sergio
;
Fabozzi, Frank J.
- In:
The journal of asset management
15
(
2014
)
5
,
pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
Saved in:
5
Portfolio revision under mean-variance and mean-CVaR with transaction costs
Chen, Andrew H.
;
Fabozzi, Frank J.
;
Huang, Dashan
- In:
Review of quantitative finance and accounting
39
(
2012
)
4
,
pp. 509-526
Persistent link: https://www.econbiz.de/10009690387
Saved in:
6
Stochastic orders and non-Gaussian risk factor models
Höse, Steffi
;
Huschens, Stefan
- In:
Review of managerial science
7
(
2013
)
2
,
pp. 99-140
Persistent link: https://www.econbiz.de/10009717183
Saved in:
7
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
8
Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan
;
Yu, Baimin
;
Lu, Zu-di
;
Fabozzi, Frank J.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
Saved in:
9
Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
Saved in:
10
Portfolio selection with uncertain exit time : a robust CVaR approach
Huang, Dashan
;
Zhu, Shu-shang
;
Fabozzi, Frank J.
; …
- In:
Journal of economic dynamics & control
32
(
2008
)
2
,
pp. 594-623
Persistent link: https://www.econbiz.de/10003642783
Saved in:
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