Narrow search
Showing 1 - 10 of 128
Cover Image
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Cover Image
The limits of diversification when losses may be large
Ibragimov, Rustam; Walden, Johan - In: Journal of banking & finance 31 (2007) 8, pp. 2551-2569
Persistent link: https://www.econbiz.de/10003522982
Cover Image
Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
Cover Image
Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408
Persistent link: https://www.econbiz.de/10010508674
Cover Image
Risk models-at-risk
Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
Cover Image
On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994
Persistent link: https://www.econbiz.de/10003733781
Cover Image
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
Cover Image
Foster-Hart optimal portfolios
Anand, Abhinav; Li, Tiantian; Kurosaki, Tetsuo; Kim, … - In: Journal of banking & finance 68 (2016), pp. 117-130
Persistent link: https://www.econbiz.de/10011634807
Cover Image
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario - In: Journal of banking & finance 89 (2018), pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Cover Image
Risk evaluations with robust approximate factor models
Chou, Ray Yeutien; Yen, Tso-Jung; Yen, Yu-min - In: Journal of banking & finance 82 (2017), pp. 244-264
Persistent link: https://www.econbiz.de/10011816816