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Portfolio selection
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Risk and decision analysis
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The journal of risk model validation
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Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
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Risk control of mean-reversion time in statistical arbitrage
Yeo, Joongyeub
;
Papanicolaou, George
- In:
Risk and decision analysis
6
(
2017
)
4
,
pp. 263-290
Persistent link: https://www.econbiz.de/10011925104
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