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Portfolio selection with robust estimators considering behavioral biases in a causal network

Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas - In: RAIRO / Operations research 53 (2019) 2, pp. 577-591

Persistent link: https://www.econbiz.de/10012113676

Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach

Orlando, Albina; Parker, Gary - In: Journal of mathematical finance 8 (2018) 2, pp. 349-371

Persistent link: https://www.econbiz.de/10011874781

Optimal ordering policies in a multi-sourcing supply chain with supply and demand disruptions-a CVaR approach

Ali, Syed Mithun; Nakade, Koichi - In: International journal of logistics systems and management 28 (2017) 2, pp. 180-199

Persistent link: https://www.econbiz.de/10011856123

Modelling systemic risk in the South African banking sector using CoVaR

Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International review of applied economics 33 (2019) 5, pp. 624-641

Persistent link: https://www.econbiz.de/10012182351

Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models

Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17

This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive...

Persistent link: https://www.econbiz.de/10012137016

GJR-Copula-CVaR model for portfolio optimization : evidence for emerging stock markets

Nikusokhan, Moien - In: Iranian economic review : journal of University of Tehran 22 (2018) 4, pp. 990-1015

Persistent link: https://www.econbiz.de/10012152394

Risk averse investment strategies for a private electricity generating company in a carbon constrained environment

Adıyeke, Esra; Çanakoğlu, Ethem; Ağralı, Semra - In: Journal of the Operational Research Society 70 (2019) 12, pp. 2056-2068

Persistent link: https://www.econbiz.de/10012214899

Cattle as a consistently resilient agricultural commodity

Powell, Robert; Duc Hong Vo; Thach Ngoc Pham - In: Applied economics 51 (2019) 55, pp. 5911-5922

Persistent link: https://www.econbiz.de/10012197305

The case of "less is more" : modelling risk-preference with expected downside risk

Ormos, Mihály; Timotity, Dusán - In: The B.E. journal of theoretical economics 17 (2017) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011709696

Minimizing risk exposure when the choice of a risk measure is ambiguous

Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344

Persistent link: https://www.econbiz.de/10011819577