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Is online trading gambling with peanuts? : Anders Anderson
Anderson, Anders - 2005
Persistent link: https://www.econbiz.de/10003351473
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Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
Bodnar, Olha; Bodnar, Taras - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 3, pp. 295-306
Persistent link: https://www.econbiz.de/10003888645
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Heterogeneity and portfolio choice : theory and evidence
Curcuru, Stephanie E.; Heaton, John; Lucas, Deborah J.; … - 2010
Persistent link: https://www.econbiz.de/10003900660
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael (contributor);  … - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …
Persistent link: https://www.econbiz.de/10003477096
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Modelling and calibration errors in measures of portfolio credit risk
Tarashev, Nikola A.; Zhu, Haibin - 2007
small-sample estimation errors or popular rule-of-thumb values of asset return correlations, can lead to significant …
Persistent link: https://www.econbiz.de/10003512271
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Systemic risk contributions : a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
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Real effects of financial market integration : does lower home bias lead to welfare benefits?
Pungulescu, Crina - In: The European journal of finance 21 (2015) 10/12, pp. 893-911
Persistent link: https://www.econbiz.de/10011301973
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Co-movement, spillovers and excess returns in global bond markets
Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - 2015
Persistent link: https://www.econbiz.de/10011318315
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Renditeeigenschaften, Replikationsqualität und Preiseffizienz von Leveraged, Short und Leveraged Short Exchange-Traded Funds
Schmitz, Sebastian B. - 2015
Persistent link: https://www.econbiz.de/10011327479