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Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds
Caillault, Cyril; Monier, Stéphane - In: Interest rate models, asset allocation and quantitative …, (pp. 158-177). 2010
Persistent link: https://www.econbiz.de/10008746615
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Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds
Caillault, Cyril; Monier, Stéphane - In: Interest rate models, asset allocation and quantitative …, (pp. 158-177). 2010
Persistent link: https://www.econbiz.de/10003940928
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Spatial contagion between financial markets : new evidence of asymmetric measures
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022
Persistent link: https://www.econbiz.de/10013342100
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Staying ahead on downside risk
Rossi, Giuliano De - In: Optimizing optimization : the next generation of …, (pp. 143-160). 2010
Persistent link: https://www.econbiz.de/10003939102
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On conditional value-at-risk based goal programming portfolio selection procedure
Kaminski, Bogumil; Czupryna, Marcin; Szapiro, Tomasz - In: Multiobjective programming and goal programming : …, (pp. 243-252). 2009
Persistent link: https://www.econbiz.de/10003842762
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Value at risk bounds for portfolios of non-normal returns
Luciano, Elisa; Marena, M. - In: New trends in banking management : with 42 tables, (pp. 207-222). 2002
Persistent link: https://www.econbiz.de/10001703811
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The estimation of market risk in portfolios of stocks and stock options
Locarek-Junge, Hermann; Prinzler, Ralf; Straßberger, Mario - In: German financial markets and institutions: selected studies, (pp. 171-189). 2002
Persistent link: https://www.econbiz.de/10001705548
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Marktpreisrisikoschätzung in Portefeuilles mit nichtlinearen Verlustfunktionen
Locarek-Junge, Hermann; Straßberger, Mario; Prinzler, Ralf - In: e-Finance : innovative Problemlösungen für …, (pp. 295-314). 2001
Persistent link: https://www.econbiz.de/10001615205
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Schätzung des Marktrisikos von Portefeuilles aus Aktien und Aktienoptionen
Locarek-Junge, Hermann; Prinzler, Ralf; Straßberger, Mario - In: Operations research proceedings 2000 : selected papers …, (pp. 180-187). 2001
Persistent link: https://www.econbiz.de/10001571475
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Managing infrastructure tail risks in equity portfolios
Chakkalakal, Louis; Hommel, Ulrich - In: Essays on portfolio optimization and infrastructure …, (pp. 86-114). 2018
Persistent link: https://www.econbiz.de/10012111697