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Extreme M-quantiles as risk measures : from L1 to Lp optimization

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017

Persistent link: https://www.econbiz.de/10012266461

Risk measures in finance : congruent or contrasting?

Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180

Persistent link: https://www.econbiz.de/10012391033

Asset allocation and downside risk

Barber, Joel R. - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 268-284

Persistent link: https://www.econbiz.de/10012595970

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

The risk-asymmetry index as a new measure of risk

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Multinational finance journal 22 (2018) 3/4, pp. 173-210

Persistent link: https://www.econbiz.de/10012547710

Does downside risk matter more in asset pricing? : evidence from China

Ali, Heba - In: Emerging markets review 39 (2019), pp. 154-174

Persistent link: https://www.econbiz.de/10012313110

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions

Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157

Persistent link: https://www.econbiz.de/10012058851

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

Persistent link: https://www.econbiz.de/10011990919

Extremes for coherent risk measures

Asimit, Alexandru; Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 332-341

Persistent link: https://www.econbiz.de/10011630863

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