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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
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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
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Backtesting expected shortfall and beyond
Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
Kim, Minjoo; Yang, Junhong; Song, Pengcheng; Zhao, Yang - In: Quantitative finance 21 (2021) 5, pp. 815-835
Persistent link: https://www.econbiz.de/10012500192
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Long-only equal risk contribution portfolios for CVaR under discrete distributions
Mausser, Helmut; Romanko, Oleksandr - In: Quantitative finance 18 (2018) 11, pp. 1927-1945
Persistent link: https://www.econbiz.de/10012262887
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Risk contributions : duality and sensitivity
O'Cinneide, Colm A. - In: Quantitative finance 18 (2018) 12, pp. 2023-2033
Persistent link: https://www.econbiz.de/10012262948
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Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit; Hofer, Markus; Kandhai, Drona - In: Quantitative finance 18 (2018) 3, pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
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Learning minimum variance discrete hedging directly from the market
Nian Ke; Coleman, Thomas F.; Li, Yuying - In: Quantitative finance 18 (2018) 7, pp. 1115-1128
Persistent link: https://www.econbiz.de/10011911526
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Transaction costs and crowding
Chincarini, Ludwig Boris - In: Quantitative finance 18 (2018) 8, pp. 1389-1410
Persistent link: https://www.econbiz.de/10011911547