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Escobar, Marcos
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Quantitative finance
Journal of banking & finance
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NBER working paper series
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498
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ECONIS (ZBW)
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1
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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2
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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3
Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
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4
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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5
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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6
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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7
Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
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8
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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9
Coherent portfolio performance ratios
Kroll, Yoram
;
Marchioni, Andrea
;
Ben-Horin, Moshe
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1589-1603
Persistent link: https://www.econbiz.de/10012624159
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10
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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