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Can a coherent risk measure be too subadditive?
Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 365-386
Persistent link: https://www.econbiz.de/10003713544
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Economic capital allocation under coherent market liquidity constraints
Janabi, Mazin A. M. al - In: Journal of economic research 16 (2011) 2, pp. 147-186
Persistent link: https://www.econbiz.de/10009308860
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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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Dynamic equity asset allocation with liquidity-adjusted market risk criterion : appraisal of efficient and coherent portfolios
Janabi, Mazin A. M. al - In: The journal of asset management 12 (2011) 5, pp. 378-394
Persistent link: https://www.econbiz.de/10009408646
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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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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483
Persistent link: https://www.econbiz.de/10011455734
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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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Optimal capital allocation principles
Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano; … - In: The journal of risk and insurance : the journal of the … 79 (2012) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009517734
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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