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subject:"Portfolio selection"
type_genre:"Handbuch"
~person:"Daouia, Abdelaati"
~subject:"Basler Akkord"
~subject:"Internes Kontrollsystem"
~type_genre:"Working Paper"
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Portfolio selection
Basler Akkord
Internes Kontrollsystem
Ausreißer
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Extrapolation
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Heavy tails
4
Outliers
4
Portfolio-Management
4
Risikomanagement
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Risk management
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Risk measure
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Statistical distribution
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Statistische Verteilung
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Risiko
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Risk
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Asymmetric least squares
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Coherent risk measures
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Estimation theory
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Expected shortfall
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Expectiles
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Schätztheorie
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Tail index
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Daouia, Abdelaati
Eller, Roland
10
Schuermann, Til
9
McAleer, Michael
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Ongena, Steven
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Bungartz, Oliver
5
Diebold, Francis X.
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Farkas, Walter
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Pesaran, M. Hashem
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Pérez Amaral, Teodosio
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Christoffersen, Peter F.
4
Conlon, Thomas
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Csóka, Péter
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Daníelsson, Jón
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Engle, Robert F.
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Girard, Stéphane
4
Lee, Cheng F.
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Manganelli, Simone
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Andersen, Torben
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Bagliano, Fabio C.
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Bollerslev, Tim
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Cannata, Francesco
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Chang, Chia-Lin
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Dimitrov, Daniel
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Filipović, Damir
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Fugazza, Carolina
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Gouriéroux, Christian
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Helfer, Michael
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Herbertsson, Alexander
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Herings, Peter Jean-Jacques
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Huan, Xing
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Härdle, Wolfgang
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ECONIS (ZBW)
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Tail expectile process and risk assessment
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013490908
Saved in:
2
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupffer, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013492959
Saved in:
3
Extreme M-quantiles as risk measures : from L1 to Lp optimization
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2017
Persistent link: https://www.econbiz.de/10012266461
Saved in:
4
Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2015
Persistent link: https://www.econbiz.de/10011302290
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