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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2024 - This version: March 2024
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …
Persistent link: https://www.econbiz.de/10014531337
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Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement
Jensen, Sören - 2012
Persistent link: https://www.econbiz.de/10013360909
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Konzentrationsrisiken in Kreditportfolios
Winterfeldt, Birker - 2008
Persistent link: https://www.econbiz.de/10014009601
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Factor-mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10015050470
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Nichtparametrische integrierte Rendite- und Risikoprognosen im Asset Management mit Hilfe von Prädiktorselektionsverfahren
Hildebrandt, Johannes - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003884140
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Risk concentration and the mean-expected shortfall criterion
Han, Xia; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846
Persistent link: https://www.econbiz.de/10014565286