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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Case analysis of the Moroccan stock market : a financial risk management approach
Al Janabi, Mazin A. M. - In: Business excellence and competitiveness in the Middle …, (pp. 253-264). 2008
Persistent link: https://www.econbiz.de/10003896053
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Volatility forecasting and value-at-risk estimation in emerging markets : the case of the stock market index portfolio in South Africa
Bonga-Bonga, Lumengo; Mutema, George - In: South African journal of economic and management sciences 12 (2009) 4, pp. 401-411
Persistent link: https://www.econbiz.de/10003962746
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Scalarization methods in multiobjective optimization, robustness, risk theory and finance
Khan, Akhtar A.; Köbis, Elisabeth; Tammer, Christiane - In: Multiple criteria decision making in finance, insurance …, (pp. 135-157). 2015
Persistent link: https://www.econbiz.de/10011374139
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Who holds risky assets and how much? : an empirical study based on the HFCS data
Zhan, Jun Chao - In: Empirica : journal of european economics 42 (2015) 2, pp. 323-370
Persistent link: https://www.econbiz.de/10011318341
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Effect of the time to maturity on the risk of the covered call strategy
Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020
This chapter illustrates the selected issues connected with the covered call strategy: the strategy design, the impact of certain variables (the price of the underlying asset and time to expiration (maturity) on the performance of the values of the ratios delta, gamma, vega, theta, and rho....
Persistent link: https://www.econbiz.de/10012793374