Narrow search
Showing 1 - 10 of 11
Cover Image
Optimization of asset allocation and liquidation time in investment decisions with var as a risk measure
Xu, Chunhui; Ye, Yinyu - In: Computational economics 64 (2024) 1, pp. 551-577
Persistent link: https://www.econbiz.de/10015078045
Cover Image
Portfolio risk measures : the time's arrow matters
Ruttiens, Alain - In: Computational economics 41 (2013) 3, pp. 407-424
Persistent link: https://www.econbiz.de/10009711309
Cover Image
Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model
Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - In: Computational economics 44 (2014) 1, pp. 67-86
Persistent link: https://www.econbiz.de/10010396231
Cover Image
Deviation-based model risk measures
Berkhouch, Mohammed; Müller, Fernanda Maria; Lakhnati, … - In: Computational economics 59 (2022) 2, pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Cover Image
Inaccurate value at risk estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos - In: Computational economics 59 (2022) 3, pp. 1155-1171
Persistent link: https://www.econbiz.de/10013169235
Cover Image
Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.; Wang, Yu-Jen; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Cover Image
Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
Cover Image
Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
Cover Image
Risk : an R package for financial risk measures
Chan, Stephen; Nadarajah, Saralees - In: Computational economics 53 (2019) 4, pp. 1337-1351
Persistent link: https://www.econbiz.de/10012135135
Cover Image
Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816
Persistent link: https://www.econbiz.de/10012134868