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A new approach to measuring riskiness in the equity market : implications for the risk premium
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117
Persistent link: https://www.econbiz.de/10011543805
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Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Mathematics and financial economics 9 (2015) 2, pp. 149-167
Persistent link: https://www.econbiz.de/10011349444
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Portfolio optimization with quasiconvex risk measures
Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059
Persistent link: https://www.econbiz.de/10011409050
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Time-consistency of risk measures : how strong is such a property?
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 287-317
Persistent link: https://www.econbiz.de/10012065238
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417
Persistent link: https://www.econbiz.de/10011987520
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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
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Global downside risk and equity returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012140071
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Is economic uncertainty priced in the cross-section of stock returns?
Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: Journal of financial economics 126 (2017) 3, pp. 471-489
Persistent link: https://www.econbiz.de/10011818201
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Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675
Persistent link: https://www.econbiz.de/10011812548
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Robust return risk measures
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32
Persistent link: https://www.econbiz.de/10011963258