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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

Persistent link: https://www.econbiz.de/10009576319

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

Modifikation der Verteilungsannahme im Value-at-Risk-Modell

Jödicke, Ralf; Schremper, Ralf - 1999

Persistent link: https://www.econbiz.de/10001404275

Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures

Gatfaoui, Hayette - In: Energy economics 80 (2019), pp. 132-152

Persistent link: https://www.econbiz.de/10012172340

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

Persistent link: https://www.econbiz.de/10010520085

Tail risk concerns everywhere

Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130

Persistent link: https://www.econbiz.de/10012039979

Financial decision-making under distribution uncertainty

Kacperczyk, Marcin - 2004

Persistent link: https://www.econbiz.de/10003386915

The Use of Risk Budgets in Portfolio Optimization

Unger, Albina - 2015

Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting …Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the … asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the …

Persistent link: https://www.econbiz.de/10014021208

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