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On the exact distribution of the estimated EU portfolio weights : theory and applications
Bodnar, Taras; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905998
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Coupled Risk Measures and Their Empirical Estimation When Losses Follow Heavy-Tailed Distributions
Necir, Abdelhakim - 2011
the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them … when losses follow heavy-tailed distributions. Our theory implies – at a stroke – statistical inferential results for …
Persistent link: https://www.econbiz.de/10013124424
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VarGamma stresstests
Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10009763897
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Estimating Risk Attitudes Using Lotteries : A Large Sample Approach
Donkers, Bas; van Soest, Arthur; Melenberg, Bertrand - 1999
, and income of the individual. We also estimate a structural model based on Cumulative Prospect Theory and find that the …
Persistent link: https://www.econbiz.de/10014192026
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A tale of tails : an empirical analysis of loss distribution models for estimating operational risk capital
Dutta, Kabir (contributor); Perry, Jason (contributor) - 2006 - This version: April 2007 (first version: July 2006)
; operational risk ; g-and-h distribution ; goodness-of-fit ; skewness-kurtosis ; risk measurement ; extreme value theory ; peak …
Persistent link: https://www.econbiz.de/10003347297
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Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions
Stock, Robert D. - 2020
Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...
Persistent link: https://www.econbiz.de/10012844430
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Tail Risk
Chow, Victor; Gu, Jiahao; Wang, Zhan - 2023
We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor …
Persistent link: https://www.econbiz.de/10014355700
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Is expected utility theory applicable? : a revealed preference test
Just, David; Peterson, Hikaru Hanawa - In: American journal of agricultural economics 92 (2010) 1, pp. 16-27
Persistent link: https://www.econbiz.de/10008904399
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Rekursive Präferenzen und das Equity Premium Puzzle : eine empirische Analyse des deutschen Kapitalmarkts
Köster, Michael - 2007
Persistent link: https://www.econbiz.de/10003527979