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The dynamic Black-Litterman approach to asset allocation
Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016
Persistent link: https://www.econbiz.de/10011480647
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A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40
Persistent link: https://www.econbiz.de/10011480704
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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Mean-univariate GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - In: Computers & operations research : and their … 72 (2016), pp. 83-92
Persistent link: https://www.econbiz.de/10011488146
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The new hybrid value at risk approach based on the extreme value theory
Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …
Persistent link: https://www.econbiz.de/10011503775
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Integrated bi-criteria decision support system for portfolio selection
Fulga, Cristinca - In: Journal of decision systems 24 (2015) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10011505799
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Liquiditätsportfoliomanagement - ertragsorientierte Steuerung der bankbetrieblichen Liquidität
Sonntag, Manuel - 2016
Persistent link: https://www.econbiz.de/10011521978
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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Decision making under risk with spectral risk measures : concepts and applications in financial theory
Brandtner, Mario - 2016
Persistent link: https://www.econbiz.de/10011525409
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169