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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016
Persistent link: https://www.econbiz.de/10011539339
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Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891
Persistent link: https://www.econbiz.de/10010437113
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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Machine learning and portfolio optimization
Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154
Persistent link: https://www.econbiz.de/10011847178
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Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan; Mao, Tiantian - In: Insurance / Mathematics & economics 107 (2022), pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
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Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294
Persistent link: https://www.econbiz.de/10014228426