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Risk parity : the democratization of risk in asset allocation
Fabozzi, Francesco A.; Simonian, Joseph; Fabozzi, Frank J. - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 41-50
Persistent link: https://www.econbiz.de/10012503362
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From ad hoc bond-risk measures to variance-covariance forecasts
Jong, Marielle de; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 4, pp. 6-16
Persistent link: https://www.econbiz.de/10012517176
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Portfolio volatility spillover
Konstantinov, Gueorgui; Fabozzi, Frank J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-39
Persistent link: https://www.econbiz.de/10013371157
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Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Economic modelling 51 (2015), pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
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Effectiveness of developed and emerging market FX options in active currency risk management
Vohra, Suprita; Fabozzi, Frank J. - In: Journal of international money and finance 96 (2019), pp. 130-146
Persistent link: https://www.econbiz.de/10012139636
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Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks
Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries … - In: Journal of international financial markets, … 60 (2019), pp. 68-88
Persistent link: https://www.econbiz.de/10012127964
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Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
Balcılar, Mehmet; Demirer, Rıza; Hammoudeh, Shawkat; … - In: Energy economics 54 (2016), pp. 159-172
Persistent link: https://www.econbiz.de/10011662798
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342
Persistent link: https://www.econbiz.de/10010503584
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Dependence of stock and commodity futures markets in China : implications for portfolio investment
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - In: Emerging markets review 21 (2014), pp. 183-200
Persistent link: https://www.econbiz.de/10011304331
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Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: Journal of financial engineering 2 (2015) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010528392