Similar Search Results

Stressed portfolio optimization with semiparametric method

Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

Persistent link: https://www.econbiz.de/10013170237

FRM Financial Risk Meter

Althof, Michael - 2022

Persistent link: https://www.econbiz.de/10013390868

Semi-parametric method for estimating tail related risk measures in the stock market

Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329

Persistent link: https://www.econbiz.de/10011649371

Econometric modeling of risk measures : a selective review of the recent literature

Tian, Dingshi; Cai, Zongwu; Fang, Ying - 2018

Persistent link: https://www.econbiz.de/10011965814

A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock-bond portfolios

Chen, Xiangjin B.; Silvapulle, Paramsothy; Silvapulle, … - In: Economic modelling 42 (2014), pp. 230-242

Persistent link: https://www.econbiz.de/10010478162

Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …