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Applied Fundamentals in Finance : Portfolio Management and Investments
Mondello, Enzo - 2023
Part 1: Portfolio Management -- Chapter 1. Return -- Chapter 2. Risk -- Chapter 3. Other Investment Characteristics …
Persistent link: https://www.econbiz.de/10014302674
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Weather derivatives risk measures for extreme events
Erhardt, Robert J.; Smith, Richard L. - In: North American actuarial journal 18 (2014) 3, pp. 379-393
Persistent link: https://www.econbiz.de/10011338995
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Risikomessung in Portefeuilles mit Derivaten
Locarek-Junge, Hermann - In: Credit Risk und Value-at-Risk Alternativen : …, (pp. 199-227). 1998
Persistent link: https://www.econbiz.de/10001304873
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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Risk Measures for Investment Values and Returns Based on Skewed-Heavy Tailed Distributions : Analytical Derivations and Comparison
Theodossiou, Panayiotis - 2020
returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and … expected shortfall measures, used by regulators, investors, portfolio managers and actuaries to measure and manage the risk … value at risk, expected shortfall and downside risk measures for asset values and returns based on the SGT distribution. An …
Persistent link: https://www.econbiz.de/10014352371
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Local risk-minimization under the benchmark approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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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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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn; Osterrieder, Daniela - In: Journal of financial econometrics 21 (2023) 5, pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758