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Risikomaß
Portfolio-Management
43,770
Portfolio selection
43,602
Theorie
24,430
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24,035
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8,725
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8,714
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3,992
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3,917
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3,877
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3,706
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3,672
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3,666
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3,065
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3,020
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2,861
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2,701
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2,331
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2,282
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2,066
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2,024
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McAleer, Michael
50
Wang, Ruodu
24
Hammoudeh, Shawkat
22
Pérez Amaral, Teodosio
22
Rosazza Gianin, Emanuela
19
Härdle, Wolfgang
17
Fabozzi, Frank J.
16
Jiménez-Martín, Juan-Ángel
16
Rüschendorf, Ludger
15
Chang, Chia-Lin
14
Righi, Marcelo Brutti
14
Vanduffel, Steven
14
Vries, Casper G. de
14
Allen, David E.
13
Brandtner, Mario
13
Janabi, Mazin A. M. al
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Bernard, Carole
11
Fortin, Ines
11
Hlouskova, Jaroslava
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Hyung, Namwon
10
Kim, Young Shin
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Lucas, André
10
Mao, Tiantian
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Uryasev, Stan
10
Albrecht, Peter
9
Cai, Jun
9
Farkas, Walter
9
Kang, Sang Hoon
9
Mensi, Walid
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Müller, Fernanda Maria
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Paolella, Marc S.
9
Rengifo, Erick W.
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Stoja, Evarist
9
Stoyanov, Stoyan V.
9
Tang, Qihe
9
Tiwari, Aviral Kumar
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Weigert, Florian
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Zhu, Shushang
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Alexander, Gordon J.
8
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
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Springer Fachmedien Wiesbaden
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Verlag Wissenschaft & Praxis Dr. Brauner GmbH
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Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
62
Journal of risk
57
Finance research letters
50
Risks : open access journal
46
Quantitative finance
40
Discussion paper / Tinbergen Institute
34
Economic modelling
31
International review of financial analysis
31
The North American journal of economics and finance : a journal of financial economics studies
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Journal of risk and financial management : JRFM
26
International journal of theoretical and applied finance
22
Applied economics
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Journal of economic dynamics & control
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Research paper series / Swiss Finance Institute
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Research in international business and finance
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Finance and stochastics
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Operations research
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International review of economics & finance : IREF
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Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
International journal of forecasting
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Econometric Institute research papers
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Journal of econometrics
13
Journal of international financial markets, institutions & money
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Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
11
Journal of forecasting
11
Journal of risk management in financial institutions
11
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mathematics and financial economics
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Operations research letters
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ECONIS (ZBW)
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EconStor
18
USB Cologne (business full texts)
4
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1
Tail Risk
Chow, Victor
;
Gu, Jiahao
;
Wang, Zhan
-
2023
tail-beta
securities
significantly reduce bear market losses …
Persistent link: https://www.econbiz.de/10014355700
Saved in:
2
Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und ein...
Dannenberg, Henry
-
2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10003825755
Saved in:
3
Superhedging and dynamic risk measures under volatility uncertainty
Nutz, Marcel
;
Soner, Halil Mete
-
2010
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale which is also the value process of a superhedging...
Persistent link: https://www.econbiz.de/10008797677
Saved in:
4
Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter
;
Weber, Martin
-
2001
Persistent link: https://www.econbiz.de/10011544966
Saved in:
5
Optimal asset allocation under quadratic loss aversion
Fortin, Ines
;
Hlouskova, Jaroslava
-
2012
We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the two-asset problem of the QLA investor for a risk-free...
Persistent link: https://www.econbiz.de/10009684025
Saved in:
6
The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures
Gyarmati, Ákos
-
2011
We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management. BLM is a weighted spread measure, it represents the implicit costs of trading, which arise from the fact that actual trading is not executed at the mid-price. Traditional VaR...
Persistent link: https://www.econbiz.de/10013128586
Saved in:
7
On the (Mis)Use of Conditional Value-at-Risk and Spectral Risk Measures for Portfolio Selection - A Comparison with Mean-Variance Analysis
Brandtner, Mario
-
2012
We study portfolio selection using Conditional Value-at-Risk and, as its natural extension, spectral risk measures instead of the variance. We do not focus only on the derivation of the efficient frontiers, but also consider the choice of optimal portfolios within an integrated framework. We...
Persistent link: https://www.econbiz.de/10013105178
Saved in:
8
Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures
Centrone, Francesca
-
2017
We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk measures) and the one of Tsanakas (convex case), to the...
Persistent link: https://www.econbiz.de/10012959630
Saved in:
9
Tail Risk Management for Multi-Asset Multi-Factor Strategies
Chambers, David
-
2019
Multi-asset multi-factor portfolio allocation is typically centred around a risk-based allocation paradigm, often striving for maintaining equal volatility risk budgets. Given that the common factor ingredients can be highly skewed, we specifically incorporate the notion of tail risk management...
Persistent link: https://www.econbiz.de/10012893446
Saved in:
10
Robust VaR and CVaR Optimization under Joint
Ambiguity
in Distributions, Means, and Covariances
Lotfi, Somayyeh
-
2018
for constructing joint ellipsoidal
ambiguity
sets from point estimates given by multiple
securities
analysts. Using a … under joint
ambiguity
in distribution, mean returns, and covariance matrix. We formulate models for ellipsoidal, polytopic …, and interval
ambiguity
sets of the means and covariances. The models unify and/or extend several existing models. We also …
Persistent link: https://www.econbiz.de/10012936302
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