Similar Search Results - EconBiz

Construction of uncertainty sets for portfolio selection problems

Wiechers, Christof - 2011

While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent examples are given by the risk measures Value-at-Risk...

Persistent link: https://www.econbiz.de/10008939076

Robustifying convex risk measures for linear portfolios : a nonparametric approach

Wozabal, David - In: Operations research 62 (2014) 6, pp. 1302-1315

Persistent link: https://www.econbiz.de/10010471862

A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock-bond portfolios

Chen, Xiangjin B.; Silvapulle, Paramsothy; Silvapulle, … - In: Economic modelling 42 (2014), pp. 230-242

Persistent link: https://www.econbiz.de/10010478162

Nonparametric risk management with generalized hyperbolic distributions

Chen, Ying; Härdle, Wolfgang; Jeong, Seok-oh - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 910-923

Persistent link: https://www.econbiz.de/10003772400

Efficient portfolio analysis using distortion risk measures

Gouriéroux, Christian; Liu, Wei - 2006

Persistent link: https://www.econbiz.de/10003422288

Nonparametric estimation of expected shortfall

Chen, Song Xi - In: Journal of financial econometrics : official journal of … 6 (2008) 1, pp. 87-107

Persistent link: https://www.econbiz.de/10003669257

Econometric modeling of risk measures : a selective review of the recent literature

Tian, Dingshi; Cai, Zongwu; Fang, Ying - 2018

Persistent link: https://www.econbiz.de/10011965814

Mean-VaR portfolio optimization : a nonparametric approach

Lwin, Khin T.; Qu, Rong; MacCarthy, Bart - In: European journal of operational research : EJOR 260 (2017) 2, pp. 751-766

Persistent link: https://www.econbiz.de/10011699174

Semi-parametric method for estimating tail related risk measures in the stock market

Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329

Persistent link: https://www.econbiz.de/10011649371

Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms

Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536

Persistent link: https://www.econbiz.de/10011470947

A service of the