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Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - In: Annals of finance 4 (2008) 3, pp. 345-367
Persistent link: https://www.econbiz.de/10003714674
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Risk management under UCITS III/IV : a new challenge for the fund industry
Szylar, Christian - 2010
Persistent link: https://www.econbiz.de/10003939820
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Moving to goalposts : subjective performance benchmarks and the Aumann-Serrano measure of riskiness
Bennett, Christopher J.; Thompson, Brennan S. - 2014 - Rev.
Persistent link: https://www.econbiz.de/10011382163
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A comedy of errors : misguided policy, mis-sold mortages and more
Miller, Marcus; Zhang, Lei; Rastapana, Songklod - 2016
Persistent link: https://www.econbiz.de/10011550873
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Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
Daníelsson, Jón (contributor) - 2001
Persistent link: https://www.econbiz.de/10001594651
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Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001
Persistent link: https://www.econbiz.de/10001720508
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Risk Measures and Financial Innovation with Backward Stochastic Difference Equations
Antar, Ezequiel - 2019
means that there is scope for further risk reduction by the introduction of new market securities -- financial innovation … used to define a family of dynamic risk measures which is used to solve the problems of optimal trading for a single … approach allows the characterization of unique dynamic trading equilibria, optimal instrument design, inter-agent risk transfer …
Persistent link: https://www.econbiz.de/10012903656
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868
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The effect of leverage on the magnitude of risk : can financial market black swan events, 10 sigma events and fat tails be explained by leverage?
Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 4 (2015) 1/2, pp. 45-54
Persistent link: https://www.econbiz.de/10011444068
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810