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isPartOf:"CFS Working Paper Series"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Portfolio-Management"
~subject:"Statistical distribution"
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Portfolio-Management
Statistical distribution
Risikomaß
33
Risk measure
33
Portfolio selection
20
Theorie
20
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20
Value-at-Risk
9
Financial crisis
7
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Alexander, Gordon J.
2
Baptista, Alexandre M.
2
Li, Duan
2
Wu, Qi
2
Yan, Xing
2
Ankirchner, Stefan
1
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Bu, Di
1
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CFS Working Paper Series
Journal of economic dynamics & control
Insurance / Mathematics & economics
146
Journal of banking & finance
90
Journal of risk
66
European journal of operational research : EJOR
63
Risks : open access journal
59
Finance research letters
48
Economic modelling
39
Quantitative finance
39
Discussion paper / Tinbergen Institute
38
International review of financial analysis
37
International journal of forecasting
32
The North American journal of economics and finance : a journal of financial economics studies
32
Applied economics
30
Journal of risk and financial management : JRFM
30
Journal of empirical finance
29
The journal of risk model validation
29
The European journal of finance
26
International journal of theoretical and applied finance
24
Computational economics
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Journal of econometrics
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The journal of operational risk
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International review of economics & finance : IREF
21
Research paper series / Swiss Finance Institute
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Scandinavian actuarial journal
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Research in international business and finance
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Working papers
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Energy economics
18
Journal of forecasting
18
Finance and stochastics
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Management science : journal of the Institute for Operations Research and the Management Sciences
17
Journal of risk management in financial institutions
16
Operations research
16
Econometric Institute research papers
15
Journal of international financial markets, institutions & money
15
The journal of asset management
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Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Dynamic CVaR portfolio construction with attention-powered generative factor learning
Sun, Chuting
;
Wu, Qi
;
Yan, Xing
- In:
Journal of economic dynamics & control
160
(
2024
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014532506
Saved in:
2
Backtesting macroprudential stress tests
Ramadiah, Amanah
;
Fricke, Daniel
;
Caccioli, Fabio
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-33
Persistent link: https://www.econbiz.de/10013464518
Saved in:
3
Network tail risk estimation in the European banking system
Torri, Gabriele
;
Giacometti, Rosella
;
Tichý, Tomáš
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
Saved in:
4
Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Bu, Di
;
Liao, Yin
;
Shi, Jing
;
Peng, Hongfeng
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
Saved in:
5
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
6
Capturing deep tail risk via sequential learning of quantile dynamics
Wu, Qi
;
Yan, Xing
- In:
Journal of economic dynamics & control
109
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012314027
Saved in:
7
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
8
Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
Saved in:
9
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
10
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
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