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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 : JRFM 13 (2020) 11/285, 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/10012388728
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Optimal allocation of retirement portfolios
Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …
Persistent link: https://www.econbiz.de/10013206042
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Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509
Persistent link: https://www.econbiz.de/10011564922
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach
Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28
Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal …
Persistent link: https://www.econbiz.de/10013380409
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Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
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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
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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
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …
Persistent link: https://www.econbiz.de/10012025262