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A Comparison of VAR and Cvar C...
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CAPM
Theorie
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Theory
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USA
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43,633
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Hens, Thorsten
54
Stambaugh, Robert F.
50
Campbell, John Y.
49
Fabozzi, Frank J.
49
Ferson, Wayne E.
45
Cochrane, John H.
42
Jarrow, Robert A.
42
Zaremba, Adam
42
Bekaert, Geert
39
Zhang, Lu
39
Zhou, Guofu
37
Hansen, Lars Peter
35
Madan, Dilip B.
35
Jagannathan, Ravi
34
Harvey, Campbell R.
32
Kan, Raymond
31
Lo, Andrew W.
31
Zin, Stanley E.
31
He, Xue-zhong
30
Chiarella, Carl
28
Robotti, Cesare
28
Lee, Cheng F.
27
Bossaerts, Peter L.
26
Gagliardini, Patrick
26
Hull, John
26
Longstaff, Francis A.
26
Prokopczuk, Marcel
26
Yaron, Amir
26
Kelly, Bryan T.
25
Korajczyk, Robert A.
25
Bali, Turan G.
24
Hommes, Cars H.
24
Pástor, Ľuboš
24
Fama, Eugene F.
23
Hollstein, Fabian
23
Renault, Eric
23
Ang, Andrew
22
Bansal, Ravi
22
Duffie, Darrell
22
Dumas, Bernard
22
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6
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5
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4
Erasmus Research Institute of Management
4
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4
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Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management
4
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4
American Finance Association
3
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
3
Stanford Institute for Economic Policy Research
3
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Bank of England / Monetary Analysis Division
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Birkbeck College / Department of Economics
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Center for Economic Research <Tilburg>
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2
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2
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2
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2
INSEAD
2
Institut for Finansiering <Frederiksberg>
2
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
2
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NBER working paper series
241
Working paper / National Bureau of Economic Research, Inc.
198
Journal of financial economics
188
NBER Working Paper
173
The journal of finance : the journal of the American Finance Association
169
The review of financial studies
156
Journal of banking & finance
154
Journal of economic dynamics & control
134
Finance research letters
120
Journal of empirical finance
103
Management science : journal of the Institute for Operations Research and the Management Sciences
78
Mathematical finance : an international journal of mathematics, statistics and financial theory
78
Research paper series / Swiss Finance Institute
77
Journal of financial and quantitative analysis : JFQA
76
Economics letters
74
International review of financial analysis
67
International review of economics & finance : IREF
63
Journal of monetary economics
59
Discussion paper / Centre for Economic Policy Research
58
Journal of economic theory
58
Finance and stochastics
56
International journal of theoretical and applied finance
52
Journal of econometrics
52
Review of quantitative finance and accounting
52
Applied economics
51
The North American journal of economics and finance : a journal of financial economics studies
51
Swiss Finance Institute Research Paper
49
Economic modelling
48
Discussion papers / CEPR
46
Journal of international money and finance
46
The journal of portfolio management : a publication of Institutional Investor
46
Annals of finance
45
The European journal of finance
44
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
42
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
41
Journal of international financial markets, institutions & money
40
Working paper
40
Finance and economics discussion series
39
Journal of mathematical economics
39
The journal of asset management
39
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ECONIS (ZBW)
11,684
RePEc
96
EconStor
70
OLC EcoSci
8
Other ZBW resources
1
Showing
1
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11,859
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date (newest first)
date (oldest first)
1
Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter
;
Weber, Martin
-
2001
Persistent link: https://www.econbiz.de/10011544966
Saved in:
2
Downside Risk in Multiperiod Tracking Error Models
Barro, Diana
-
2012
The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and...
Persistent link: https://www.econbiz.de/10013103103
Saved in:
3
Efficient Portfolio Valuation Incorporating Liquidity Risk
Tian, Yu
-
2014
According to the
theory
proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo
theory
, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …
Persistent link: https://www.econbiz.de/10013068715
Saved in:
4
A Closed-Form Solution of the Black-Litterman Model with Conditional Value at Risk
Pang, Tao
-
2019
We consider a portfolio optimization problem of the Black-Litterman type, in which we use the conditional value-at-risk (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We...
Persistent link: https://www.econbiz.de/10012902710
Saved in:
5
Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan
;
Ungeheuer, Michael
;
Weigert, Florian
-
2020
-
This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
Saved in:
6
Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman
- In:
Financial innovation : FIN
9
(
2023
)
1
,
pp. 1-29
This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...
Persistent link: https://www.econbiz.de/10014289044
Saved in:
7
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Saved in:
8
Stress testing by financial intermediaries : implications for portfolio selection and asset pricing
Alexander, Gordon J.
;
Baptista, Alexandre M.
- In:
Journal of financial intermediation
18
(
2009
)
1
,
pp. 65-92
Persistent link: https://www.econbiz.de/10003813182
Saved in:
9
Stochastic spanning
Arvanitis, Stelios
;
Hallam, Mark
;
Post, Thierry
-
2015
This study develops and implements a
theory
and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10010512497
Saved in:
10
Uncertain growth, ambiguity aversion and asset prices
Liu, Hening
-
2011
I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....
Persistent link: https://www.econbiz.de/10009411461
Saved in:
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