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Downside risk, portfolio diversification and the financial crisis in the euro-zone

Sarafrazi, Soodabeh; Hammoudeh, Shawkat; Santos, Paulo … - In: Journal of international financial markets, … 32 (2014), pp. 368-396

Persistent link: https://www.econbiz.de/10011299784

High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables

Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496

Persistent link: https://www.econbiz.de/10010367568

Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period

Liu, Tengdong; Hammoudeh, Shawkat; Santos, Paulo Araújo - In: Journal of international money and finance 44 (2014), pp. 47-68

Persistent link: https://www.econbiz.de/10010391088

Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks

Hammoudeh, Shawkat; Araújo Santos, Paulo; Al-Hassan, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 318-334

Persistent link: https://www.econbiz.de/10010134058

Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks

Hammoudeh, Shawkat; Araújo Santos, Paulo; Al-Hassan, … - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 318-334

Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient...

Persistent link: https://www.econbiz.de/10011056691