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isPartOf:"Journal of risk"
~subject:"Mathematische Optimierung"
~subject:"Volatility"
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Mathematische Optimierung
Volatility
Portfolio-Management
105
Portfolio selection
104
Risikomaß
55
Risk measure
55
Risikomanagement
39
Risk management
39
Theorie
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Theory
39
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Risk
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Schätzung
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risk management
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Multivariate Verteilung
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Statistische Verteilung
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portfolio optimization
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value-at-risk (VaR)
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Kwon, Roy H.
2
Belles-Sampera, Jaume
1
Blitz, David
1
Butler, Andrew
1
Chen, Jiusheng
1
Chen, Wei
1
Costa, Giorgio
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Deng, Geng
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Dulaney, Tim
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Ewen, Martin
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Guillén, Montserrat
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Jakobsons, Edgars
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Li, Hongyi
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Prasanna, Krishna
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Rab, Nikolaus
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Riccetti, Luca
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Rieger, Marc Oliver
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Santolino, Miguel
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Skoglund, Jimmy
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Swinkels, Laurens
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Vliet, Willem Nicolaas van
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Wang, Yongning
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Warnung, Richard
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Wu, Chongfeng
1
Xu, Weidong
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Xu, Weijun
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Journal of risk
European journal of operational research : EJOR
133
Finance research letters
58
Journal of banking & finance
54
Research paper series / Swiss Finance Institute
43
International journal of theoretical and applied finance
40
Quantitative finance
38
The journal of asset management
38
Finance and stochastics
35
Swiss Finance Institute Research Paper
34
The North American journal of economics and finance : a journal of financial economics studies
34
Journal of empirical finance
33
Computational economics
32
Energy economics
32
Insurance / Mathematics & economics
31
Journal of economic dynamics & control
31
International review of financial analysis
29
Journal of financial economics
27
Journal of risk and financial management : JRFM
27
Economic modelling
26
Computers & operations research : and their applications to problems of world concern ; an international journal
25
Journal of mathematical finance
25
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Mathematics and financial economics
24
NBER working paper series
23
Risks : open access journal
22
NBER Working Paper
21
International review of economics & finance : IREF
20
Applied economics
19
Journal of the Operational Research Society
19
The European journal of finance
19
Applied mathematical finance
18
Journal of international financial markets, institutions & money
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Research in international business and finance
18
Working paper
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Working paper / National Bureau of Economic Research, Inc.
18
Annals of finance
17
Investment management and financial innovations
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Journal of econometrics
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Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
2
Shrinking beta
Blitz, David
;
Swinkels, Laurens
;
Ūsaitė, Kristina
; …
- In:
Journal of risk
24
(
2022
)
6
,
pp. 25-44
Persistent link: https://www.econbiz.de/10013549669
Saved in:
3
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
4
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
5
Fund size and the stability of portfolio risk
Ewen, Martin
;
Rieger, Marc Oliver
- In:
Journal of risk
22
(
2019/2020
)
6
,
pp. 65-87
Persistent link: https://www.econbiz.de/10012421711
Saved in:
6
A regime-switching factor model for mean-variance optimization
Costa, Giorgio
;
Kwon, Roy H.
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
Saved in:
7
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya
;
Prasanna, Krishna
- In:
Journal of risk
20
(
2017/2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
Saved in:
8
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
Saved in:
9
Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Journal of risk
19
(
2016
)
2
,
pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
Saved in:
10
Suboptimality in portfolio conditional value-at-risk optimization
Jakobsons, Edgars
- In:
Journal of risk
18
(
2015/2016
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011578360
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