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Portfolio diversification during the COVID-19 pandemic : do vaccinations matter?

Pham, Son Duy; Nguyen, Thao Thac Thanh; Do, Hung Xuan; … - In: Journal of financial stability 65 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014289935

Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no …

Persistent link: https://www.econbiz.de/10010528411

Investing in volatility : analytical and empirical studies on the benefits of volatility exposure in equity portfolios

Kapraun, Julia - 2014

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Asset allocation decisions in a world with changing risk

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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets

Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402

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Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael (contributor); … - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …