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Investing across periods with Mahalanobis distances
Sénéchal, Edouard; Singer, Brian - In: The journal of investment strategies 6 (2017) 2, pp. 41-62
Persistent link: https://www.econbiz.de/10011668129
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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A view inside corporate risk management
Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026
Persistent link: https://www.econbiz.de/10012125860
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An uncertainty quantification framework for the achievability of backtesting results of trading strategies
Chan, Raymond H.; Ma, Alfred Ka Chun; Yeung, Lanston … - In: The journal of investment strategies 6 (2017) 4, pp. 21-46
Persistent link: https://www.econbiz.de/10011771278
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Factor-based tactical bond allocation and interest rate risk management
Thomann, Andreas - In: The journal of investment strategies 8 (2019) 3, pp. 49-79
Persistent link: https://www.econbiz.de/10012426012
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Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
Trecourt, Pierre; Peres, Florian; Singh, Sameer - In: The journal of investment strategies 11 (2022) 2, pp. 11-46
Persistent link: https://www.econbiz.de/10013462909
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Dependence structure of risk factors and diversification effects
Chen Zhou - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 531-540
Persistent link: https://www.econbiz.de/10003981149
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On the Haezendonck-Goovaerts risk measure for extreme risks
Tang, Qihe; Fan, Yang - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 217-227
Persistent link: https://www.econbiz.de/10009501684
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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136