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Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew; Alcock, Jamie; Faff, Robert W.; … - In: Journal of banking & finance 37 (2013) 8, pp. 3085-3099
Persistent link: https://www.econbiz.de/10009777123
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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
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Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis
Brandtner, Mario - In: Journal of banking & finance 37 (2013) 12, pp. 5526-5537
Persistent link: https://www.econbiz.de/10010343658
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Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin; Chen, Zhiping; Hui, Yongchang - In: Applied economics 51 (2019) 4, pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
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The economic value of controlling for large losses in portfolio selection
Dias, Alexandra - In: Journal of banking & finance 72 (2016), pp. 81-91
Persistent link: https://www.econbiz.de/10011637057
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Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
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Tail estimation and mean-VaR portfolio selection in markets subject to financial instability
Consigli, Giorgio - In: Journal of banking & finance 26 (2002) 7, pp. 1355-1382
Persistent link: https://www.econbiz.de/10001688519
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210