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Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints

Nakano, Yumiharu - In: Applied mathematical finance 10 (2003) 2, pp. 163-181

Persistent link: https://www.econbiz.de/10001805377

Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …

Persistent link: https://www.econbiz.de/10001805902

M̕anagerialism,̕ o̕wnerism ̕and risk

Amihud, Yakov - In: Journal of banking & finance 7 (1983) 2, pp. 189-196

Persistent link: https://www.econbiz.de/10001830309

Second generation VaR and risk-adjusted return on capital

Rich, Don R. - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 51-61

Persistent link: https://www.econbiz.de/10001781764

Distribution assumption and risk constraints in portfolio optimization

Maringer, Dietmar G. - 2003

Persistent link: https://www.econbiz.de/10001786452

Value at risk models in finance

Manganelli, Simone; Engle, Robert F. - 2001

Persistent link: https://www.econbiz.de/10001626397

Value-at-risk-Modelle für Aktienportfolios auf der Basis der Varianz-Kovarianz-Methode : ein Vergleich vereinfachender Verfahren und Konzepte zur Einbeziehung impliziter Volatilitäten

Jockusch, Arne - 2002

Persistent link: https://www.econbiz.de/10001629858

Modeling liquidity risk, with implications for traditional market risk measurement and management

Bangia, Anil; Diebold, Francis X.; Schuermann, Til; … - In: Risk management : the state of the art, (pp. 3-13). 2002

Persistent link: https://www.econbiz.de/10001698270

Value-at-risk analysis : a review and the potential for agricultural applications

Manfredo, Mark R.; Leuthold, Raymond M. - In: Review of agricultural economics : RAE 21 (1999) 1, pp. 99-111

Persistent link: https://www.econbiz.de/10001417821

Techniques for verifying the accuracy of risk measurement models

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 3 (1995) 2, pp. 73-84

Persistent link: https://www.econbiz.de/10001223182

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