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Event portfolios : asset value, risk and returns

Andersson, Tommy Daniel; Getz, Donald; Gration, David; … - In: International journal of event and festival management 8 (2017) 3, pp. 226-243

Persistent link: https://www.econbiz.de/10011803841

The evaluation of financial risk and portfolio selection

Hacıoğlu, Ümit; Dinçer, Hasan; Çelik, Ismail Erkan - In: Managerial issues in finance and banking : a strategic …, (pp. 111-120). 2014

Persistent link: https://www.econbiz.de/10010208420

Modified expected shortfall : a new robust coherent risk measure

Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83

Persistent link: https://www.econbiz.de/10013262918

Notes on Fano ratio and portfolio optimization

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012229128

Measuring portfolio risk of non-energy commodity using time-varying vine copula

Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190

Persistent link: https://www.econbiz.de/10012253560

Portfolio performance evaluation in Mean-CVaR framework : a comparison with non-parametric methods value at risk in Mean-VaR analysis

Banihashemi, Shokoofeh; Navidi, Sarah - In: Operations research perspectives 4 (2017), pp. 21-28

As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk. Regard to, value at risk is not a coherent risk measure and it is not sub-additive and convex, so, we have considered...

Persistent link: https://www.econbiz.de/10011822843