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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio; Kondor, Imre; Marsili, Matteo - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
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Representation of BSDE-based dynamic risk measures and dynamic capital allocations
Kromer, Eduard; Overbeck, Ludger - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10010437199
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A comparison of some univariate models for value-at-risk and expected shortfall
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 1043-1075
Persistent link: https://www.econbiz.de/10003631000
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Drawdown measure in portfolio optimization
Chekhlov, Alexei; Uryasev, Stan; Zabarankin, Michael - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 13-58
Persistent link: https://www.econbiz.de/10002625151
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Coherent portfolio separation - inherent systemic risk?
Framstad, Nils Chr. - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 909-917
Persistent link: https://www.econbiz.de/10002420767