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Search: subject:"portfolio risk measures"
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portfolio risk measures
3
CAPM
2
Multivariate Analyse
2
Multivariate analysis
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Portfolio selection
2
Portfolio-Management
2
Risikomaß
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Risk measure
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Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
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analytical coefficients
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efficient market hypothesis
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equity indices
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investment funds
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unit
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Multivariate non-Gaussian processes
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Normal mean-variance mixture
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Normal mean-variance mixtures
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Portfolio optimization
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Portfolio risk measures
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Time-changed Brownian motion
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Volatility
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Volatilität
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company management
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expectation-maximization maximum likelihood
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management company
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multivariate non-Gaussian processes
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time-changed Brownian motion
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Bianchi, Michele Leonardo
2
Nikiforova, Vera
2
Sergeeva, Irina
2
Tassinari, Gian Luca
2
Fabozzi, Frank J.
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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International journal of theoretical and applied finance
1
Journal of Advanced Studies in Finance
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MPRA Paper
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Quantitative finance
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ECONIS (ZBW)
2
RePEc
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Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
2
The development of the portfolio management for the unit investment funds
Sergeeva, Irina
;
Nikiforova, Vera
-
Volkswirtschaftliche Fakultät, …
-
2012
portfolio
risk
measures
, and introduces the approach to risk assessment based on the analytical coefficient calculations. …
Persistent link: https://www.econbiz.de/10009418480
Saved in:
3
THE DEVELOPMENT OF THE PORTFOLIO MANAGEMENT FOR THE UNIT INVESTMENT FUNDS
Sergeeva, Irina
;
Nikiforova, Vera
- In:
Journal of Advanced Studies in Finance
III
(
2012
)
1
,
pp. 84-94
crisis. The current paper identifies characteristics, advantages and disadvantages of various
portfolio
risk
measures
and …
Persistent link: https://www.econbiz.de/10010698845
Saved in:
4
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:
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