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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
Persistent link: https://www.econbiz.de/10009710216
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Risk Measurement : From Quantitative Measures to Management Decisions
Guégan, Dominique; Hassani, Bertrand K. - 2019
1 Introduction -- 2. Financial Institutions : A Regulation review through the Risk Measurement prism -- 3. The Traditional Risk measures -- 4. Univariate and Multivariate Distributions -- 5. Extensions for Risk Measures: Univariate and Multivariate Approaches -- 6. Risks Measures and Dynamics --...
Persistent link: https://www.econbiz.de/10012398556
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Risk measurement : from quantitative measures to management decisions
Guégan, Dominique; Hassani, Bertrand - 2019
Persistent link: https://www.econbiz.de/10011920991
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Matrix evolutions : synthetic correlations and explainable machine learning for constructing robust investment portfolios
Papenbrock, Jochen; Schwendner, Peter; Jaeger, Markus; … - In: The journal of financial data science 3 (2021) 2, pp. 51-69
Persistent link: https://www.econbiz.de/10012519242
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Opposites attract : combining alpha momentum and alpha reversal in international equity markets
Zaremba, Adam; Umutlu, Mehmet; Karathanasopoulos, Andreas - In: The journal of investing : JOI 29 (2020) 3, pp. 38-62
Persistent link: https://www.econbiz.de/10013177472
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Market timing with the backward SADF test
Guo, Weilong; Glyman, Jacqueline - In: The journal of investing : JOI 29 (2020) 4, pp. 32-42
Persistent link: https://www.econbiz.de/10013177871
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Testing the efficiency of given portfolios using robust and multivariate methods
Lindén, Mikael; Suoperä, Antti - 1991
Persistent link: https://www.econbiz.de/10000817251
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Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models
Bodnar, Taras; Zabolotskyy, Taras - 2007
Persistent link: https://www.econbiz.de/10003635785
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High dimensional covariance matrix estimation using a factor model
Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of econometrics 147 (2008) 1, pp. 186-197
Persistent link: https://www.econbiz.de/10003783799
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Hedging the risk of an energy futures portfolio
Alexander, Carol - In: Risk management in commodity markets : from shipping to …, (pp. 117-127). 2008
Persistent link: https://www.econbiz.de/10003787695