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Optimal investment under partial information and robust VAR-type constraint

Bäuerle, Nicole; Chen, An - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-18

Persistent link: https://www.econbiz.de/10014497281

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580

Risk spillover between the GIPSI economies and Egypt, Saudi Arabia, and Turkey

Kumar, Dilip - In: Emerging markets finance & trade : a journal of the … 51 (2015) 6, pp. 1193-1208

Persistent link: https://www.econbiz.de/10011561247

Optimal collective investment : The impact of sharing rules, management fees and guarantees

Chen, An; Nguyen, Thai; Rach, Manuel Matthias - In: Journal of banking & finance 123 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012662259

Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator

Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012667394

Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator

Kumar, Dilip - In: Journal of quantitative economics 18 (2020) 3, pp. 587-610

Persistent link: https://www.econbiz.de/10012418856

Optimal risk-sharing across a network of insurance companies

Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - In: Insurance / Mathematics & economics 95 (2020), pp. 39-47

Persistent link: https://www.econbiz.de/10012419227

Optimal investment and consumption when allowing terminal debt

Chen, An; Vellekoop, Michel - In: European journal of operational research : EJOR 258 (2017) 1, pp. 385-397

Persistent link: https://www.econbiz.de/10011642230

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097

Optimal investment under VaR-Regulation and Minimum Insurance

Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209

Persistent link: https://www.econbiz.de/10011825449