Narrow search
Showing 1 - 10 of 28
Cover Image
The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
Cover Image
An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Cover Image
Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
Cover Image
Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
Cover Image
Conditional Monte Carlo estimation of quantile sensitivities
Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027
Persistent link: https://www.econbiz.de/10003928512
Cover Image
Nested simulation in portfolio risk measurement
Gordy, Michael B.; Juneja, Sandeep - In: Management science : journal of the Institute for … 56 (2010) 10, pp. 1833-1848
Persistent link: https://www.econbiz.de/10008701411
Cover Image
Simulation of coherent risk measures based on generalized scenarios
Lesnevski, Vadim; Nelson, Barry L.; Staum, Jeremy - In: Management science : journal of the Institute for … 53 (2007) 11, pp. 1756-1769
Persistent link: https://www.econbiz.de/10003593245
Cover Image
Satisficing measures for analysis of risky positions
Brown, David B.; Sim, Melvyn - In: Management science : journal of the Institute for … 55 (2009) 1, pp. 71-84
Persistent link: https://www.econbiz.de/10003873683
Cover Image
Evaluating value-at-risk models with desk-level data
Berkowitz, Jeremy; Christoffersen, Peter F.; Pelletier, … - In: Management science : journal of the Institute for … 57 (2011) 12, pp. 2213-2227
Persistent link: https://www.econbiz.de/10009428250
Cover Image
Worst-case value at risk on nonlinear portfolios
Zymler, Steve; Kuhn, Daniel; Rustem, Berç - In: Management science : journal of the Institute for … 59 (2013) 1, pp. 172-188
Persistent link: https://www.econbiz.de/10009711767