-to-work journeys between municipalities in Denmark. Special attention is given to a proper estimation method and the form of the …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

optimization, where the measure of risk is the Conditional Value-at-Risk (CVaR). …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …