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On portfolio optimization : imposing the right constraints
Behr, Patrick; Guettler, Andre; Miebs, Felix - In: Journal of banking & finance 37 (2013) 4, pp. 1232-1242
Persistent link: https://www.econbiz.de/10009719796
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001
Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...
Persistent link: https://www.econbiz.de/10011316891
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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Tail expectile process and risk assessment
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2018
Persistent link: https://www.econbiz.de/10013490908
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupffer, Gilles - 2018
Persistent link: https://www.econbiz.de/10013492959
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A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation
Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
present a new example illustrating the bias when applied to an efficient frontier. …
Persistent link: https://www.econbiz.de/10013179703
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An improved test for statistical arbitrage
Jarrow, Robert A.; Teo, Melvyn; Tse, Yiu Kuen; … - In: Journal of financial markets 15 (2012) 1, pp. 47-80
Persistent link: https://www.econbiz.de/10009356613
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Evaluating the performance of hedge fund strategies : a non-parametric analysis
Canepa, Alessandra; González, Maria; Skinner, Frank S. - 2015
Persistent link: https://www.econbiz.de/10011348497
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Theoretical and empirical estimates of mean-variance portfolop sensitivity
Palczewski, Andrej; Palczewski, Jan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 402-410
Persistent link: https://www.econbiz.de/10010356745