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Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207
Persistent link: https://www.econbiz.de/10010388754
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Numerical solution of dynamic quantile models
Castro, Luciano I. de; Galvão Júnior, Antônio Fialho; … - In: Journal of economic dynamics & control 148 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014240037
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Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf; Rösch, Daniel - In: Journal of economic dynamics & control 68 (2016), pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
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Simulating and calibrating diversification against black swans
Hyung, Namwon; Vries, Casper G. de - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1162-1175
Persistent link: https://www.econbiz.de/10009634272
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Salience, systemic risk and spectral risk measures as capital requirements
Matyska, Branka - In: Journal of economic dynamics & control 125 (2021), pp. 1-29
Persistent link: https://www.econbiz.de/10012666998
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Robust measurement of (heavy-tailed) risks : theory and implementation
Schneider, Judith Christiane; Schweizer, Nikolaus - In: Journal of economic dynamics & control 61 (2015), pp. 152-182
Persistent link: https://www.econbiz.de/10011589518
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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
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Shortfall as a risk measure : properties, optimization and applications
Bertsimas, Dimitris; Lauprete, Geoffrey J.; Samarov, … - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1353-1381
Persistent link: https://www.econbiz.de/10001880835
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On capital accumulation paths in a neoclassical stochastic growth model
Mitra, Kaushik - In: Economic theory : official journal of the Society for … 11 (1998) 2, pp. 457-464
Persistent link: https://www.econbiz.de/10001236022
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A general endogenous grid method for multi-dimensional models with non-convexities and constraints
Druedahl, Jeppe; Jørgensen, Thomas H. - In: Journal of economic dynamics & control 74 (2017), pp. 87-107
Persistent link: https://www.econbiz.de/10011740487