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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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Average drawdown risk and capital asset pricing
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10010241626
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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Weighted risk capital allocations in the presence of systematic risk
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
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Putting the Aumann-Serrano Riskiness Index to work
Nisani, Doron; Shelef, Amit; David, Or - In: Review of accounting & finance 22 (2023) 1, pp. 84-122
Persistent link: https://www.econbiz.de/10014245782
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The Beta Heuristic from a Time/Frequency Perspective : A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Mcnevin, Bruce - 2016
draw implications for investors regarding the market risk of investing in specific sectors …
Persistent link: https://www.econbiz.de/10012985074
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Systematic tail risk
Oordt, Maarten van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Market risk : exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …
Persistent link: https://www.econbiz.de/10012285469