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Capital growth with security
MacLean, Leonard C.; Sanegre, Rafael; Zhao, Yonggan; … - In: Journal of economic dynamics & control 28 (2004) 5, pp. 937-954
Persistent link: https://www.econbiz.de/10001856006
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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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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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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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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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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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Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012668977