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A simulation comparison of risk measures for portfolio optimization
Righi, Marcelo Brutti; Borenstein, Denis - In: Finance research letters 24 (2018), pp. 105-112
Persistent link: https://www.econbiz.de/10011982511
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach
Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212
Persistent link: https://www.econbiz.de/10012003526
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Conditional Sharpe ratios
Chow, Victor K.; Lai, Christine W. - In: Finance research letters 12 (2015), pp. 117-133
Persistent link: https://www.econbiz.de/10011552289
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Bank insolvency risk and Z-score measures : a refinement
Lepetit, Lætitia; Strobel, Frank - In: Finance research letters 13 (2015), pp. 214-224
Persistent link: https://www.econbiz.de/10011552521
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Robust multivairiate extreme value at risk allocation
Belhajjam, Abdellah; Belbachir, Mohammadine; El … - In: Finance research letters 23 (2017), pp. 1-11
Persistent link: https://www.econbiz.de/10011808275
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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ESG tail risk : the Covid-19 market crash analysis
Lashkaripour, Mohammadhossein - In: Finance research letters 53 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014472312
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The COVID-19 risk in the cross-section of equity options
Jitsawatpaiboon, Kanokrak; Ruan, Xinfeng - In: Finance research letters 53 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014472524
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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014472777