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Return or position-based value at risk?
Huillard d'Aignaux, Jérôme
;
Baranne, Benjamin
;
Fuchs, …
- In:
International Journal of Portfolio Analysis and Management
1
(
2014
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4
,
pp. 301-313
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S.
- In:
Finance and stochastics
11
(
2007
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4
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pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Are survey forecasts of individual and institutional investor sentiments rational?
Verma, Rahul
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Verma, Priti
- In:
International review of financial analysis
17
(
2008
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5
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pp. 1139-1155
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Dynamic asset allocation under VaR constraint with stochastic interest rates
Hainaut, Donatien
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2009
Persistent link: https://www.econbiz.de/10003934263
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Three essays on portfolio choice
White, Joshua Stuart
-
2003
Persistent link: https://www.econbiz.de/10003386136
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Maximize the sharpe ratio and minimize a VaR
Durand, Robert B.
;
Jafarpour, Hedieh
;
Klüüelberg, Claudia
- In:
The journal of wealth management
13
(
2010
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1
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pp. 91-102
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Econometric analysis of financial count data and portfolio choice : a dynamic approach
Rengifo, Erick W.
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2005
Persistent link: https://www.econbiz.de/10003987160
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8
Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu
;
Wong, Wing Keung
- In:
European journal of operational research : EJOR
207
(
2010
)
2
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pp. 927-935
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On optimal allocation of risk vectors
Kiesel, Swen
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Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
47
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2010
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2
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pp. 167-175
Persistent link: https://www.econbiz.de/10008654261
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Can VAR models capture regime shifts in asset returns? : A long-horizon strategic asset allocation perspective
Guidolin, Massimo
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Hyde, Stuart
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2010
Persistent link: https://www.econbiz.de/10003921737
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