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Uncertain risk parity
Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10012805357
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Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
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Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael; Lüdemann, Stefan; Poddig, Thorsten - In: Journal of risk 18 (2016) 5, pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Dynamic risk management of multi-asset portfolios
Groll, Christian - 2017
Persistent link: https://www.econbiz.de/10012202863
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Hedging parameter risk
Claußen, Arndt; Rösch, Daniel; Schmelzle, Martin - In: Journal of banking & finance 100 (2019), pp. 111-121
Persistent link: https://www.econbiz.de/10012162464
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Can portfolio risk be described with estimates of financial risk tolerance calibration?
Rabbani, Abed G.; Grable, John E. - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013342753