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Robust risk estimation and hedging : a reverse stress testing approach
Kopeliovich, Yaacov; Novosyolov, Arcady; Satchkov, Daniel; … - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 10-25
Persistent link: https://www.econbiz.de/10011399737
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Tail Risk and Robust Portfolio Decisions
Jin, Xing - 2020
Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy … risk. We find that, without jump ambiguity, a CRRA investor suffers negligible wealth losses from underestimating tail risk …
Persistent link: https://www.econbiz.de/10012855002
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio; Kwon, Roy H. - In: Quantitative finance 19 (2019) 3, pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
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A regime-switching factor model for mean-variance optimization
Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
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Robust Estimation of Wage Dispersion with Censored Data : An Application to Occupational Earnings Risk and Risk Attitudes
Pollmann, Daniel - 2012
-coded administrative wage data from the German IAB Employment Sample (IABS). We then relate these robust measures of earnings risk to the … risk attitudes of individuals working in these occupations. We find that willingness to take risk is positively correlated …
Persistent link: https://www.econbiz.de/10013107726
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Robust Estimation of Wage Dispersion with Censored Data : An Application to Occupational Earnings Risk and Risk Attitudes
Pollmann, Daniel - 2013
-coded administrative wage data from the German IAB Employment Sample (IABS). We then relate these robust measures of earnings risk to the … risk attitudes of individuals working in these occupations. We find that willingness to take risk is positively correlated …
Persistent link: https://www.econbiz.de/10013088787
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Robust and Practical Estimation for Measures of Tail Risk
Homescu, Cristian - 2014
We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze … and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting … and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We …
Persistent link: https://www.econbiz.de/10013053188
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Robust Estimation of Wage Dispersion with Censored Data : An Application to Occupational Earnings Risk and Risk Attitudes
Pollmann, Daniel; Dohmen, Thomas J.; Palm, Franz C. - 2013
-coded administrative wage data from the German IAB Employment Sample (IABS). We then relate these robust measures of earnings risk to the … risk attitudes of individuals working in these occupations. We find that willingness to take risk is positively correlated …
Persistent link: https://www.econbiz.de/10014155122
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Minimising operational risk in portfolio allocation decisions
Fernandes, José Luiz Barros; Ornelas, José Renato Haas - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 438-450
Persistent link: https://www.econbiz.de/10003907294