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Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207
Persistent link: https://www.econbiz.de/10010388754
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Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.; Schuhmacher, Frank - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
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Construction of investment risk measure by the dispersion degree of estimation errors of working capital
Chang, Shen-ho; Shaio Yan Huang; Chiu, An An; Huang, … - In: Journal of applied finance & banking 2 (2012) 1, pp. 171-195
This study is based on investors' viewpoint and adopts the accruals quality model [1] as proxy variable of earning quality. By applying the process capability concept in engineering application, we establish capability index of basis accrual quality and transform it into the investment risk...
Persistent link: https://www.econbiz.de/10009539783
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Making Cornish-Fisher fit for risk measurement
Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
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Value-at-risk in US stock indices with skewed generalized error distribution
Lee, Ming-chih; Su, Jung-bin; Liu, Hung-Chun - In: Applied financial economics letters 4 (2008) 4/6, pp. 425-431
Persistent link: https://www.econbiz.de/10003808278
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - 2012
Persistent link: https://www.econbiz.de/10009577582
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How valuable is your VaR? : large sample confidence intervals for normal VaR
Moraux, Franck - In: Journal of risk management in financial institutions 4 (2010/11) 2, pp. 189-200
Persistent link: https://www.econbiz.de/10009154314
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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - 2015
Persistent link: https://www.econbiz.de/10011502469
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Risikomanagement : Datenprobleme und unsichere Wahrscheinlichkeitsverteilungen
Gleißner, Werner - In: Risikomanagement und Risiko-Controlling : [Organisation …, (pp. 205-222). 2011
Persistent link: https://www.econbiz.de/10009297404
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Model risk in VaR calculations
Schaller, Peter - In: The VaR implementation handbook, (pp. 415-437). 2009
Persistent link: https://www.econbiz.de/10003827096