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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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Justifying mean-variance portfolio selection when asset returns are skewed
Schuhmacher, Frank; Kohrs, Hendrik; Auer, Benjamin R. - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7812-7824
Persistent link: https://www.econbiz.de/10012815763
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Risk analysis for large pools of loans
Sirignano, Justin; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 1, pp. 107-121
Persistent link: https://www.econbiz.de/10011991377
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Monitoring value-at-risk and expected shortfall forecasts
Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971
Persistent link: https://www.econbiz.de/10014305469
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Targets, predictability, and performance
Peñaranda, Francisco; Wu, Liuren - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1537-1555
Persistent link: https://www.econbiz.de/10012887642
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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Density forecasting of intraday call center arrivals using models based on exponential smoothing
Taylor, James W. - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 534-549
Persistent link: https://www.econbiz.de/10009525268
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Is it better to average probabilities or quantiles?
Lichtendahl, Kenneth C.; Grushka-Cockayne, Yael; … - In: Management science : journal of the Institute for … 59 (2013) 7, pp. 1594-1611
Persistent link: https://www.econbiz.de/10009784145
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Skewness and the relation between risk and return
Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609
Persistent link: https://www.econbiz.de/10011502439
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Tail-heaviness, asymmetry, and profitability forecasting by quantile regression
Tian, Hui; Yim, Andrew; Newton, David P. - In: Management science : journal of the Institute for … 67 (2021) 8, pp. 5209-5233
Persistent link: https://www.econbiz.de/10012625104