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Advancement of optimal portfolio models with short sales and transaction costs : methodology and effectiveness

Chiou, Wan-jiun Paul; Yu, Jing-Rung - 2024

Persistent link: https://www.econbiz.de/10015050077

Combined accumulation- and decumulation-plans with risk-controlled capital protection

Albrecht, Peter - 2003

Persistent link: https://www.econbiz.de/10013443151

Asset liability management of German life insurance companies : a value-at-risk approach in the presence of interest rate guarantees

Albrecht, Peter - 2003

Persistent link: https://www.econbiz.de/10013443165

Asymptotic results on tail moment for light-tailed risks

Wang, Bingjie; Li, Jinzhu - In: Insurance : mathematics and economics 114 (2024), pp. 43-55

Persistent link: https://www.econbiz.de/10015049355

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored which model specification and distributional...

Persistent link: https://www.econbiz.de/10015050054