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Selection of the right risk measures for portfolio allocation
Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156
Persistent link: https://www.econbiz.de/10010531305
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker; Frenk, Johannes G.; Kaynar, Bahar; … - 2008
Persistent link: https://www.econbiz.de/10003754329
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Dependent risk factors
Giese, Götz - In: CreditRisk+ in the banking industry, (pp. 153-165). 2004
Persistent link: https://www.econbiz.de/10002108699
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A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
Lee, Mingchih; Chiou, Jer-shiou; Lin, Cho-min - In: Applied financial economics letters 2 (2006) 3, pp. 183-188
Persistent link: https://www.econbiz.de/10003326276
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Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...
Persistent link: https://www.econbiz.de/10003838424
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Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris; Peterson, Brian; Croux, Christophe - In: Journal of risk 11 (2008/09) 2, pp. 79-103
Persistent link: https://www.econbiz.de/10003809417