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Asset Allocation and Value at Risk in Shipping Equity Portfolios
Syriopoulos, Theodore - 2016
carefully selected sample of shipping stocks, in order to enhance asset allocation opportunities. As private and institutional … for shipping stock returns, in line with respective (tanker and dry bulk) earnings. Sectoral and company fundamentals may … affect shipping stock volatility, which is found to be sensitive to asymmetric shocks. The results support high portfolio …
Persistent link: https://www.econbiz.de/10012996560
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A relative robust approach on expected returns with bounded CVaR for portfolio selection
Benati, Stefano; Sánchez Conde, Eduardo - In: European journal of operational research : EJOR 296 (2022) 1, pp. 332-352
Persistent link: https://www.econbiz.de/10012820171
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Generalized asset pricing : Expected Downside Risk-based equilibrium modeling
Ormos, Mihály; Timotity, Dusán - In: Economic modelling 52 (2016), pp. 967-980
Persistent link: https://www.econbiz.de/10011643117
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Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals
Kocuk, Burak; Cornuéjols, Gérard - In: Omega : the international journal of management science 91 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012151686
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Managing downside risk of low-risk anomaly portfolios
Kim, Hyuksoo; Kim, Saejoon - In: Finance research letters 46 (2022) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10013341589
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Estimating the implied risk premium of U.S.-listed shipping firms
Makrominas, Michalis - In: Maritime policy and management : MPM 45 (2018) 7/8, pp. 1021-1041
Persistent link: https://www.econbiz.de/10011978206
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Mean-p portfolio selection and p-arbitrage for coherent risk measures
Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272
Persistent link: https://www.econbiz.de/10012815955
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Marktrisiken : Portfoliotheorie und Risikomaße
Kremer, Jürgen - 2018
Persistent link: https://www.econbiz.de/10011772607
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Marktrisiken : Portfoliotheorie und Risikomaße
Kremer, Jürgen - 2018
Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der Expected Shortfall -- Lösungen der Übungsaufgaben -- Index -- Literaturverzeichnis.
Persistent link: https://www.econbiz.de/10014018592
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Delegated investing and optimal risk budgets
Starck, Markus O. - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013432859