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Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322235
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Maximization of Portfolio Returns with Volatilities. Application of Monte Carlo Method
Gonzalez Garda, Sergio Andres - 2017
After the crisis of 2008 that affected the United States, financial analysts began to see stock markets with low confidence due to the lack of fidelity of deterministic models in general. Statistical methods, which use past information to predict the future have always been used. It is a fact...
Persistent link: https://www.econbiz.de/10012941421
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Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustne...
Shaw, William Thornton - 2011
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. We … generated. DeVroye's approach to sampling the interior of a simplex (a collection of non-negative random variables adding to …-Edge-Vertex-biased sampling. A practical scheme for long-only and bounded short problems is developed and tested. Non-convex and disconnected …
Persistent link: https://www.econbiz.de/10013124340
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Realized quantity extended conditional autoregressive value-at-risk models
Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63
Persistent link: https://www.econbiz.de/10014487299
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Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005
Persistent link: https://www.econbiz.de/10002817530
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Option-implied Value-at-Risk and the cross-section of stock returns
Ammann, Manuel; Feser, Alexander - In: Review of derivatives research 22 (2019) 3, pp. 449-474
Persistent link: https://www.econbiz.de/10012311843
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Valuing variable annuity guarantees on multiple assets
Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
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Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Yang Yang; Fan, Yahui; Yuen, Kam Chuen - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 361-382
Persistent link: https://www.econbiz.de/10014520551
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Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525
Persistent link: https://www.econbiz.de/10011729607
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Stock returns and real growth : A Bayesian nonparametric approach
Yang, Qiao - In: Journal of empirical finance 53 (2019), pp. 53-69
Persistent link: https://www.econbiz.de/10012171682