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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
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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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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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A coupled Markov chain approach to credit risk modeling
Wozabal, David; Hochreiter, Ronald - In: Journal of economic dynamics & control 36 (2012) 3, pp. 403-415
Persistent link: https://www.econbiz.de/10009515963
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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
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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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Economic implications of using a mean-VaR model for portfolio selection : a comparison with mean-variance analysis
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1159-1193
Persistent link: https://www.econbiz.de/10001656074
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Optimal portfolios under a value-at-risk constraint
Yiu, K. F. C. - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1317-1334
Persistent link: https://www.econbiz.de/10001880808
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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