Similar Search Results

Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty

Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10012424557

Estimation of risk contributions with MCMC

Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597

Persistent link: https://www.econbiz.de/10012194808

Portfolio choices : comparative statics under both expected return and volatility uncertainty

Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035

Persistent link: https://www.econbiz.de/10012515634

Welfare effects of information and rationality in portfolio decisions under parameter uncertainty

Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050

Persistent link: https://www.econbiz.de/10012262961

An alternative nonparametric tail risk measure

Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: Quantitative finance 21 (2021) 4, pp. 685-696

Persistent link: https://www.econbiz.de/10012483847

On the price of risk in a mean-risk optimization model

Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713

Persistent link: https://www.econbiz.de/10012261905

Optimal solution of the liquidation problem under execution and price impact risks

Mariani, Francesca; Fatone, Lorella - In: Quantitative finance 22 (2022) 6, pp. 1037-1049

Persistent link: https://www.econbiz.de/10013367883

Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis

Bergk, Kerstin; Brandtner, Mario; Kürsten, Wolfgang - In: Quantitative finance 21 (2021) 6, pp. 1011-1025

Persistent link: https://www.econbiz.de/10012515633

Tile test for back-testing risk evaluation

Zumbach, Gilles O. - In: Quantitative finance 21 (2021) 10, pp. 1605-1619

Persistent link: https://www.econbiz.de/10012653703

International Banking and Liquidity Risk Transmission : Lessons from Across Countries

Buch, Claudia M.; Goldberg, Linda S. - 2021

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

Persistent link: https://www.econbiz.de/10013312517

1
2
3
4
5
6
7
8
9
10
Next
Last