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Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509

Persistent link: https://www.econbiz.de/10011564922

The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems

Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75

Persistent link: https://www.econbiz.de/10011976584

Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

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Selection of value at risk models for energy commodities

Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643

Persistent link: https://www.econbiz.de/10011972948

Credit and market risks measurement in carbon financing for Chinese banks

Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557

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Oil price risk evaluation using a novel hybrid model based on time-varying long memory

Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78

Persistent link: https://www.econbiz.de/10012172659

Portfolio optimization through Kriging methods

Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905

Persistent link: https://www.econbiz.de/10011641047

Neural network predictive modeling on dynamic portfolio management: A simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR …, Sharpe ratio, maximum drawdown, and 99% CVaR. …

Persistent link: https://www.econbiz.de/10012611483

Pricing and hedging options with GARCH-stable proxy volatilities

Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046

Persistent link: https://www.econbiz.de/10012063384

Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052

Persistent link: https://www.econbiz.de/10010513350

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