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Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
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Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
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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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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - In: Journal of banking & finance 29 (2005) 4, pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective
Bianchi, Michele Leonardo - In: The journal of asset management 16 (2015) 7, pp. 437-449
Persistent link: https://www.econbiz.de/10011455704
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Portfolio selection with stable distributed returns
Ortobelli, Sergio; Huber, Isabella; Schwartz, Eduardo S. - In: Mathematical methods of operations research 55 (2002) 2, pp. 265-300
Persistent link: https://www.econbiz.de/10001678024
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Portfolio selection in the presence of systemic risk
Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
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Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 20 (2020) 10, pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
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Portfolio selection with uncertainty measures consistent with additive shifts
Giacometti, Rosella; Ortobelli, Sergio; Tichý, Tomáš - In: Prague economic papers : a bimonthly journal of … 24 (2015) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10011288798