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The Use of Risk Budgets in Portfolio Optimization
Unger, Albina - 2015
Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...
Persistent link: https://www.econbiz.de/10014021208
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The use of risk budgets in portfolio optimization
Unger, Albina - 2015
Persistent link: https://www.econbiz.de/10010413063
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Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen
Eller, Roland (ed.); Gruber, Walter (ed.); Reif, Markus (ed.) - 1999 - 1. Auflage
Persistent link: https://www.econbiz.de/10001379221
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Scenario optimisation of credit risky portfolios
Bohrmann, Jürgen Thomas; Bohrmann, Jürgen - 2007
Persistent link: https://www.econbiz.de/10003480505
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement
Jensen, Sören - 2012
Persistent link: https://www.econbiz.de/10013360909
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Option-based risk management of a bond portfolio under regime switching interest rates
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 1, pp. 47-70
Persistent link: https://www.econbiz.de/10009729065
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Copulas and portfolio strategies : an applied risk management perspective
Berger, Theo; Missong, Martin - In: Journal of risk 17 (2014/15) 2, pp. 51-91
Persistent link: https://www.econbiz.de/10010476248
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Models and simulations for portfolio rebalancing
Guastaroba, Gianfranco; Mansini, Renata; Speranza, … - In: Computational economics 33 (2009) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10003828842
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Wechselkursvolatilität und institutsspezifische Value-at-Risk-Ansätze
Frömmel, Michael; Menkhoff, Lukas; Tolksdorf, Norbert - In: Sparkasse : Manager-Magazin für die Sparkassen-Finanzgruppe 116 (1999) 11, pp. 506-511
Persistent link: https://www.econbiz.de/10001458250