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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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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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Option hedging using LSTM-RNN : an empirical analysis
Zhang, Junhuan; Huang, Wenjun - In: Quantitative finance 21 (2021) 10, pp. 1753-1772
Persistent link: https://www.econbiz.de/10012653710
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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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Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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TERES : tail event risk expectile shortfall
Mihoci, Andrija; Härdle, Wolfgang; Chen, Yi-Hsuan - In: Quantitative finance 21 (2021) 3, pp. 449-460
Persistent link: https://www.econbiz.de/10012483833
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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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Adjusting covariance matrix for risk management
Yu, Philip L. H.; Ng, F. C.; Ting, Jessica K. W. - In: Quantitative finance 20 (2020) 10, pp. 1681-1699
Persistent link: https://www.econbiz.de/10012295631