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Diversification and bank stability
Liang, Shuo; Moreira, Fernando; Lee, Joosung - In: Economics letters 193 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012509107
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Estimation risk and the implicit value of index-tracking
Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed - In: Quantitative finance 22 (2022) 2, pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
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Systematic risk in pairs trading and dynamic parameterization
Li, Yiyun; Law, Keith K. F. - In: Economics letters 202 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012607236
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An alternative nonparametric tail risk measure
Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: Quantitative finance 21 (2021) 4, pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
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Global risk aversion and emerging market return comovements
Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın - In: Economics letters 173 (2018), pp. 118-121
Persistent link: https://www.econbiz.de/10012022952
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Targeting market neutrality
Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; … - In: Quantitative finance 19 (2019) 3, pp. 437-451
Persistent link: https://www.econbiz.de/10012194663
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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On the price of risk in a mean-risk optimization model
Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713
Persistent link: https://www.econbiz.de/10012261905
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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
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Cryptocurrency systematic risk dynamics
Bao Doan; Jayasuriya, Dulani; Lee, John B.; Reeves, … - In: Economics letters 241 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015077948