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Bayesian Tail Risk Forecasting...
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Portfolio selection
Risikomanagement
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Fabozzi, Frank J.
39
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38
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28
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27
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20
Rosazza Gianin, Emanuela
18
Diebold, Francis X.
16
Härdle, Wolfgang
16
Rüschendorf, Ludger
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Vanduffel, Steven
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Albrecht, Peter
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Righi, Marcelo Brutti
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Janabi, Mazin A. M. al
13
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13
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World Bank Group
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Columbia University / Graduate School of Business
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Europäische Zentralbank
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Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
2
NetLibrary, Inc
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
2
Springer Fachmedien Wiesbaden
2
University of Canterbury / Dept. of Economics and Finance
2
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2
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Verlag Wissenschaft & Praxis Dr. Brauner GmbH
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1
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1
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1
Dearborn Financial Publishing, Inc. <Chicago, Ill.>
1
Edward Elgar Publishing
1
Euromoney Institutional Investor Plc. <London>
1
Fachhochschule Liechtenstein
1
Federal Reserve Bank of Atlanta
1
Financial Markets Conference - Hedge Funds: Creators of Risk? <2006, Atlanta, Ga.>
1
Frankfurt Business Media
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Insurance / Mathematics & economics
142
Journal of banking & finance
113
European journal of operational research : EJOR
89
Finance research letters
73
Journal of risk
69
Risks : open access journal
68
Quantitative finance
52
International review of financial analysis
49
Journal of risk and financial management : JRFM
42
Wiley finance series
41
The North American journal of economics and finance : a journal of financial economics studies
38
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36
Journal of risk management in financial institutions
35
The journal of asset management
31
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International journal of theoretical and applied finance
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SpringerLink / Bücher
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Discussion paper / Tinbergen Institute
27
International review of economics & finance : IREF
27
Journal of empirical finance
27
The journal of portfolio management : a publication of Institutional Investor
27
Journal of economic dynamics & control
24
Research paper series / Swiss Finance Institute
24
The journal of risk model validation
24
Energy economics
23
The European journal of finance
23
Management science : journal of the Institute for Operations Research and the Management Sciences
21
Operations research
21
Computational economics
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Finance and stochastics
20
Research in international business and finance
19
Journal of econometrics
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Scandinavian actuarial journal
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Risiko-Manager
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Sovereign wealth management
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Springer eBook Collection
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ECONIS (ZBW)
5,231
RePEc
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51
Diversification benefits of risk portfolio models : a case of Taiwan's stock market
Yu, Jing-Rung
;
Chiou, Wan-jiun Paul
;
Yang, Jian-Hong
- In:
Review of quantitative finance and accounting
48
(
2017
)
2
,
pp. 467-502
Persistent link: https://www.econbiz.de/10011796645
Saved in:
52
Portfolio optimization through Kriging methods
Barrosa, Marcelo Rosário da
;
Salles, Arthur Valle
; …
- In:
Applied economics
48
(
2016
)
49/51
,
pp. 4894-4905
Persistent link: https://www.econbiz.de/10011641047
Saved in:
53
Optimal due date quoting for a risk-averse decision-maker under
CVaR
Tao, Liangyan
;
Wu, Desheng Dash
;
Liu, Sifeng
;
Dolgui, …
- In:
International journal of production research
56
(
2018
)
5
,
pp. 1934-1959
Persistent link: https://www.econbiz.de/10011872586
Saved in:
54
Portfolio optimization from a Copulas-GJR-
GARCH-EVT-CVAR
model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen
;
Toan Luu Duc Huynh
- In:
Quantitative finance and economics
3
(
2019
)
3
,
pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
Saved in:
55
CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions
Ding, Rui
;
Uryasev, Stan
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
11/270
,
pp. 1-18
mCoCDaR are computed with
CVaR
regression of drawdowns. Moreover, mCoCDaR can be used to estimate drawdowns of a security as a …
Persistent link: https://www.econbiz.de/10012389811
Saved in:
56
Carry and conditional value at risk trend : capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts
Hertrich, Daniel
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014245938
Saved in:
57
A study on equity home bias using vine copula approach
Garg, Jyoti
;
Karmakar, Madhusudan
;
Paul, Samit
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014246917
Saved in:
58
Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
The energy journal
44
(
2023
)
2
,
pp. 139-179
Persistent link: https://www.econbiz.de/10014249083
Saved in:
59
Black-Litterman model with copula-based views in mean-
CVaR
portfolio optimization framework with weight constraints
Teplova, Tamara V.
;
Evgeniia, Mikova
;
Munir, Qaiser
; …
- In:
Economic change & restructuring
56
(
2023
)
1
,
pp. 515-535
Persistent link: https://www.econbiz.de/10013536410
Saved in:
60
A new approach to credit ratings
Pertaia, Giorgi
;
Prokhorov, Artem
;
Uryasev, Stan
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
Saved in:
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