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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility

Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022

Persistent link: https://www.econbiz.de/10013539142

Risk management of stock portfolios with jumps at exogenous default events

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014431441

Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking

Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428

Persistent link: https://www.econbiz.de/10015057498

Selection of the right risk measures for portfolio allocation

Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156

Persistent link: https://www.econbiz.de/10010531305

Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit

Xiong, Qian; Peng, Zuoxiang; Nadarajah, Saralees - In: Risks : open access journal 11 (2023) 7, pp. 1-26

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have … weighted combination of VaR and TVaR. Based on the new risk measures, we deal with the optimal reinsurance problem by …. The results indicate that the two-layer reinsurance is always an optimal reinsurance policy with both types of constraints …

Persistent link: https://www.econbiz.de/10014340271

Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation

Pradhan, Ashis Kumar; Mittal, Ishan; Tiwari, Aviral Kumar - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 291-307

Persistent link: https://www.econbiz.de/10012649582

Portfolio optimization for inventory financing : copula-based approaches

Zhi, Bangdong; Wang, Xiaojun; Xu, Fangming - In: Computers & operations research : and their … 136 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012629571

Optimal allocation of retirement portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...

Persistent link: https://www.econbiz.de/10013206042

HRP performance comparison in portfolio optimization under various codependence and distance metrics

Barziy, Illya; Chlebus, Marcin - 2020

Persistent link: https://www.econbiz.de/10012322189

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...

Persistent link: https://www.econbiz.de/10012127555