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A practitioner's guide to address fat tails and downside risk in portfolio construction
Xu, Eva A.; Tarkin, Eric L. - In: Journal of investment management : JOIM 21 (2023) 2, pp. 4-20
Persistent link: https://www.econbiz.de/10014390390
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Selection of the right risk measures for portfolio allocation
Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156
Persistent link: https://www.econbiz.de/10010531305
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
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Systematic tail risk
Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - 2016
Persistent link: https://www.econbiz.de/10011581609
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Market risk, mortality risk, and sustainable retirement asset allocation : a downside risk perspective
Harlow, W. V.; Brown, Keith C. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10011690837
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Tail risks, asset prices, and investment horizons
Baruník, Jozef; Nevrla, Matěj - 2019
-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …
Persistent link: https://www.econbiz.de/10012009758
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Mind the tail, or risk to fail
Gupta, Jairaj; Chaudhry, Sajid M. - In: Journal of business research : JBR 99 (2019), pp. 167-185
Persistent link: https://www.econbiz.de/10012023593
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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Does the low-risk anomaly exist in the Indian equity market? : a test using alternative risk measures
Ali, Asgar; Badhani, K. N.; Kumar, Ashish - In: Journal of economic studies 49 (2022) 8, pp. 1422-1452
Persistent link: https://www.econbiz.de/10013455874