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The marginal price of risk wit...
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1
Mean-p portfolio selection and p-arbitrage for coherent risk measures
Herdegen, Martin
;
Khan, Nazem
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 226-272
Persistent link: https://www.econbiz.de/10012815955
Saved in:
2
Delegated investing and optimal risk budgets
Starck, Markus O.
-
2008
-
1. Aufl.
Persistent link: https://www.econbiz.de/10013432859
Saved in:
3
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
Saved in:
4
Unconditional return disturbances: A non-parametric simulation approach
Tompkins, Robert G.
;
D'Ecclesia, Rita L.
- In:
Journal of banking & finance
30
(
2006
)
1
,
pp. 287-314
Persistent link: https://www.econbiz.de/10003285633
Saved in:
5
Optimal market indices using value-at-risk : a first empirical approach for three stock markets
Andreu Sugranyes, Jordi
;
Torra, Salvador
- In:
Applied financial economics
19
(
2009
)
13/15
,
pp. 1163-1170
calculate Capital Asset Pricing Model (
CAPM
), few articles have studied how we should build, weigh or incorporate Modern …
Persistent link: https://www.econbiz.de/10003886015
Saved in:
6
CAPM
and APT-like models with risk measures
Balbás de la Corte, Alejandro
;
Balbás, Beatriz
; …
- In:
Journal of banking & finance
34
(
2010
)
6
,
pp. 1166-1174
Persistent link: https://www.econbiz.de/10003977941
Saved in:
7
An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa
-
2003
Persistent link: https://www.econbiz.de/10003385465
Saved in:
8
On the performance of the minimum VAR portfolio
Durand, Robert B.
;
Gould, John
;
Maller, Ross A.
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 553-576
Persistent link: https://www.econbiz.de/10009509846
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9
Competitive equilibria with distortion risk measures
Boonen, Tim J.
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 703-728
Persistent link: https://www.econbiz.de/10011397655
Saved in:
10
Size and value risk in financial firms
Baek, Seungho
;
Bilson, John F.
- In:
Journal of banking & finance
55
(
2015
),
pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
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