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Insights to systematic risk and diversification across a joint probability distribution

Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150

Persistent link: https://www.econbiz.de/10011457218

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Return or position-based value at risk?

Huillard d'Aignaux, Jérôme; Baranne, Benjamin; Fuchs, … - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 301-313

Persistent link: https://www.econbiz.de/10010472817

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702

Unexpected tails in risk measurement : some international evidence

Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493

Persistent link: https://www.econbiz.de/10010404698

On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas

Hürlimann, Werner - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 613-633

Persistent link: https://www.econbiz.de/10010407943

Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns

Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256

Persistent link: https://www.econbiz.de/10010421851

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

Measuring risk when expected losses are unbounded

Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

Persistent link: https://www.econbiz.de/10010489103

Tail risk in pension funds : an analysis using ARCH models and bilinear processes

Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331

Persistent link: https://www.econbiz.de/10010490407