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Sensitivity analysis of values at risk
Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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Risk measurement performance of alternative distribution functions
Bali, Turan G.; Theodossiou, Panayiotis - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 411-437
Persistent link: https://www.econbiz.de/10003713595
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Ertrag und Risiko rollierender Wertsicherungsstrategien mit Optionen
Albrecht, Peter - In: Die Bank (1995), pp. 238-241
Persistent link: https://www.econbiz.de/10001180386
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Multi-Faktorenmodelle : Grundlagen und Einsatz im Management von Aktien-Portefeuilles
Albrecht, Peter - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 48 (1996) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10001192218
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Shortfall-Performance rollierender Wertsicherungsstrategien
Albrecht, Peter - In: Finanzmarkt und Portfolio-Management 9 (1995) 2, pp. 197-209
Persistent link: https://www.econbiz.de/10001221845
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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S.; … - In: Insurance / Mathematics & economics 63 (2015), pp. 91-107
Persistent link: https://www.econbiz.de/10011349847
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Time is money : rational life cycle inertia and the delegation of investment management
Kim, Hugh H.; Maurer, Raimond; Mitchell, Olivia S. - In: Journal of financial economics 121 (2016) 2, pp. 427-447
Persistent link: https://www.econbiz.de/10011590788
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"Resampled efficiency" - eine überlegene Methode zur Asset-Allokation?
Herold, Ulf; Maurer, Raimond - In: Finanz-Betrieb : FB ; Zeitschrift für … 4 (2002) 5, pp. 330-335
Persistent link: https://www.econbiz.de/10001670944
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Nonparametric estimation and sensitivity analysis of expected shortfall
Scaillet, Olivier - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 115-129
Persistent link: https://www.econbiz.de/10001917791