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Tail risk in the cross section of alternative risk premium strategies
Baltas, Nick; Scherer, Bernd - In: The journal of portfolio management : a publication of … 45 (2018) 2, pp. 93-104
Persistent link: https://www.econbiz.de/10012016844
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Inflation-protecting asset allocation : a downside risk analysis
Koniarski, Tim; Sebastian, Steffen - In: The journal of portfolio management : a publication of … 41 (2015) 2, pp. 57-70
Persistent link: https://www.econbiz.de/10011294199
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Defensive portfolio construction based on extreme value at risk
Schmielewski, Frank; Stoyanov, Stoyan V. - In: The journal of portfolio management : a publication of … 43 (2017) 3, pp. 42-50
Persistent link: https://www.econbiz.de/10011687053
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A CVaR scenario-based framework for minimizing downside risk in multi-asset class portfolios
Sivaramakrishnan, Kartik; Stamicar, Robert - In: The journal of portfolio management : a publication of … 44 (2018) 2, pp. 114-129
Persistent link: https://www.econbiz.de/10011880126
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Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula
Menchero, Jose; Davis, Benjamin - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 97-106
Persistent link: https://www.econbiz.de/10009273909
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Volatility-managed portfolio : does it really work?
Liu, Fang; Tang, Xiaoxiao; Zhou, Guofu - In: The journal of portfolio management : a publication of … 46 (2019) 1, pp. 38-51
Persistent link: https://www.econbiz.de/10012433114
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Volatility exposure for strategic asset allocation
Brière, Marie; Burgues, Alexandre; Signori, Ombretta - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 105-116
Persistent link: https://www.econbiz.de/10003980051
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Simple and robust risk budgeting with expected shortfall
Philips, Thomas; Liu, Michael - In: The journal of portfolio management : a publication of … 38 (2011/12) 1, pp. 78-90
Persistent link: https://www.econbiz.de/10009381261
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Risk inverse
Bernstein, Peter L. - In: The journal of portfolio management : a publication of … 35 (2008/09) 3, pp. 1
Persistent link: https://www.econbiz.de/10009520430
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Fat-tailed models for risk estimation
Stoyanov, Stoyan V.; Račev, Svetlozar T.; … - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 107-117
Persistent link: https://www.econbiz.de/10009273905