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Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach
Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European journal of operational research : EJOR 244 (2015) 1, pp. 289-299
Persistent link: https://www.econbiz.de/10010531938
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Risk models-at-risk
Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
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An economic evaluation of model risk in long-term asset allocations
Boucher, Christophe; Jannin, Gregory; Koutontchou, Patrick - In: Review of international economics 21 (2013) 3, pp. 475-491
Persistent link: https://www.econbiz.de/10010211850
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On the (ab)use of Omega?
Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - 2015
Persistent link: https://www.econbiz.de/10011632567
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"On the (Ab)use of Omega?"
Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33
Persistent link: https://www.econbiz.de/10012103452
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Forecasting high-frequency risk measures
Banulescu, Denisa; Colletaz, Gilbert; Hurlin, Christophe; … - In: Journal of forecasting 35 (2016) 3, pp. 224-249
Persistent link: https://www.econbiz.de/10011580273