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Scalarization methods in multiobjective optimization, robustness, risk theory and finance
Khan, Akhtar A.; Köbis, Elisabeth; Tammer, Christiane - In: Multiple criteria decision making in finance, insurance …, (pp. 135-157). 2015
Persistent link: https://www.econbiz.de/10011374139
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Uncertainty in historical value-at-risk : an alternative quantile-based risk measure
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Mathematical and statistical methods for actuarial …, (pp. 119-128). 2017
Persistent link: https://www.econbiz.de/10012098775
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012424283
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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Portfolio stress testing applied to commodity futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240
Persistent link: https://www.econbiz.de/10012272062