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Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
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Risk management in trading and investment portfolios : an optimisation algorithm for maximum risk-budgeting threshold
Janabi, Mazin A. M. al - In: Journal of emerging market finance 11 (2012) 2, pp. 189-229
Persistent link: https://www.econbiz.de/10009752878
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The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10009730450
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On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis
Janabi, Mazin A. M. al - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285
Persistent link: https://www.econbiz.de/10009790987
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Optimal reinsurance with regulatory initial capital and default risk
Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24
Persistent link: https://www.econbiz.de/10010402747
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Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
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Optimal and investable portfolios : an empirical analysis with scenario optimization algorithms under crisis market prospects
Janabi, Mazin A. M. al - In: Economic modelling 40 (2014), pp. 369-381
Persistent link: https://www.econbiz.de/10010425591
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Modeling coherent trading risk parameters under illiquid market perspective
Janabi, Mazin A. M. al - In: Studies in economics and finance 28 (2011) 4, pp. 301-320
Persistent link: https://www.econbiz.de/10009388603
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Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis
Janabi, Mazin A. M. al - In: International journal of financial engineering 2 (2015) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011403192
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Oil stocks, risk factors, and tail behavior
Lian, Ziying; Cai, Jun; Webb, Robert I. - In: Energy economics 91 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012518738