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Introducing global term structure in a risk parity framework
Stagnol, Lauren - 2017
Persistent link: https://www.econbiz.de/10011738994
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Remarks on a copula-based conditional value at risk for the portfolio problem
Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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Systemic risk-driven portfolio selection
Capponi, Agostino; Rubtsov, Alexey - In: Operations research 70 (2022) 3, pp. 1598-1612
Persistent link: https://www.econbiz.de/10013366163
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
Persistent link: https://www.econbiz.de/10012237439
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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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Optimal portfolio selection with maximal risk adjusted return
Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040
Persistent link: https://www.econbiz.de/10011716547
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CAViaR : Conditional Value at Risk by Quantile Regression
Engle, Robert F. - 1999
Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...
Persistent link: https://www.econbiz.de/10012471443
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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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Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan; Bai, Manying; Han, Yingwei - In: Economic modelling 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012795788