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Locally constant model uncertainty risk measure

Obradović, Lazar - 2019

This paper introduces a (coherent) risk measure that describes the uncertainty of the model (represented by a probability measure P₀) by a set Pᵧ of probability measures each of which has a Radon-Nikodym's derivative (with respect to P₀) that lies within the interval [λ; 1/λ] for some...

Persistent link: https://www.econbiz.de/10011967405

Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective

Bianchi, Michele Leonardo - In: The journal of asset management 16 (2015) 7, pp. 437-449

Persistent link: https://www.econbiz.de/10011455704

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108

Persistent link: https://www.econbiz.de/10011712409

Set-valued shortfall and divergence risk measures

Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48

Persistent link: https://www.econbiz.de/10011733939

Optimal investment under VaR-Regulation and Minimum Insurance

Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209

Persistent link: https://www.econbiz.de/10011825449

Risk management with multiple VaR constraints

Chen, An; Thai Huu Nguyen; Stadje, Mitja - In: Mathematical methods of operations research 88 (2018) 2, pp. 297-337

Persistent link: https://www.econbiz.de/10011935692

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

Persistent link: https://www.econbiz.de/10011554962

Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis

Brandtner, Mario - In: Journal of banking & finance 37 (2013) 12, pp. 5526-5537

Persistent link: https://www.econbiz.de/10010343658

Mathematical model of financial investment risk

Yin, Deyu - In: Journal of mathematical finance 8 (2018) 1, pp. 127-136

Persistent link: https://www.econbiz.de/10011846199

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