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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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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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Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Journal of economic dynamics & control 92 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
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Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Bu, Di; Liao, Yin; Shi, Jing; Peng, Hongfeng - In: Journal of economic dynamics & control 108 (2019), pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
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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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Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 32 (2008) 3, pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
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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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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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Backtesting macroprudential stress tests
Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - In: Journal of economic dynamics & control 137 (2022), pp. 1-33
Persistent link: https://www.econbiz.de/10013464518