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The impact of extreme events on portfolio in financial risk management

Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017

Persistent link: https://www.econbiz.de/10011802012

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR …, Sharpe ratio, maximum drawdown, and 99% CVaR. …

Persistent link: https://www.econbiz.de/10012388728

Forecasting Bitcoin risk measures : a robust approach

Trucíos, Carlos - In: International journal of forecasting 35 (2019) 3, pp. 836-847

Persistent link: https://www.econbiz.de/10012305182

Impact of non-normal return and market capitalization on estimation of VaR

Sinha, Pankaj; Agnihotri, Shalini - In: Journal of Indian business research 7 (2015) 3, pp. 222-242

Persistent link: https://www.econbiz.de/10011413255

Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148

Persistent link: https://www.econbiz.de/10012176750

A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization

Mba, Jules Clement; Pindza, Edson; Koumba, Ur - In: Financial markets and portfolio management 32 (2018) 4, pp. 399-418

Persistent link: https://www.econbiz.de/10011952000

Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014468847

A practitioner's guide to address fat tails and downside risk in portfolio construction

Xu, Eva A.; Tarkin, Eric L. - In: Journal of investment management : JOIM 21 (2023) 2, pp. 4-20

Persistent link: https://www.econbiz.de/10014390390

The relationship between conditional value at risk and option prices with a closed-form solution

Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425

Persistent link: https://www.econbiz.de/10010528975

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

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

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

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