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In the insurance business risky investments are dangerous : the case of negative risk sums

Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10011471125

Risk and asset allocation

Meucci, Attilio - 2007 - Corrected 3rd printing

Persistent link: https://www.econbiz.de/10003722675

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …

Persistent link: https://www.econbiz.de/10011867378

Four essays in econometrics and macroeconomics

Born, Benjamin - 2011

Persistent link: https://www.econbiz.de/10009422848

Long vs. short term asymmetry in volatility and the term structure of risk

Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209

Persistent link: https://www.econbiz.de/10011808396

Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142