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Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016
Persistent link: https://www.econbiz.de/10011539339
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Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
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Multi-moment risk, hedging strategies, & the business cycle
Racicot, François-Éric; Théoret, Raymond - In: International review of economics & finance : IREF 58 (2018), pp. 637-675
Persistent link: https://www.econbiz.de/10012034253
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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...
Persistent link: https://www.econbiz.de/10012170580
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Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi; Meng, LiLi; Wang, Yujing; Shen, Qingjie - In: Insurance / Mathematics & economics 68 (2016), pp. 92-100
Persistent link: https://www.econbiz.de/10011492551
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Value-at-risk analysis : a review and the potential for agricultural applications
Manfredo, Mark R.; Leuthold, Raymond M. - In: Review of agricultural economics : RAE 21 (1999) 1, pp. 99-111
Persistent link: https://www.econbiz.de/10001417821
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Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935
Persistent link: https://www.econbiz.de/10008652647
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On optimal allocation of risk vectors
Kiesel, Swen; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 167-175
Persistent link: https://www.econbiz.de/10008654261
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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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Leisure and long-run risks : an empirical evaluation on value premium puzzle
Zhang, Xiang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012664492