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~isPartOf:"Journal of risk"
~subject:"Kreditrisiko"
~subject:"Statistische Verteilung"
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Search: subject:"portfolio optimization"
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Kreditrisiko
Statistische Verteilung
Portfolio selection
110
Portfolio-Management
110
Risikomaß
57
Risk measure
57
Theorie
41
Theory
41
Risikomanagement
40
Risk management
40
Risiko
23
Risk
23
Estimation
20
Schätzung
20
Capital income
15
Kapitaleinkommen
15
Measurement
15
Messung
15
Credit risk
14
Estimation theory
13
Schätztheorie
13
ARCH model
11
ARCH-Modell
11
Original research
11
Volatility
11
Volatilität
11
risk management
10
CAPM
9
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8
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8
Hedging
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Statistical distribution
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value-at-risk (VaR)
8
Basel Accord
7
Basler Akkord
7
Forecasting model
7
Multivariate Verteilung
7
Multivariate distribution
7
Prognoseverfahren
7
portfolio optimization
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21
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Baule, Rainer
1
Belles-Sampera, James
1
Berens, Tobias
1
Bertagna, Andrea
1
Boeve, Rolf
1
Cicon, James
1
Deliu, Dragos
1
Dionne, Georges
1
Fermanian, Jean-David
1
Fischer, Matthias
1
Florentin, Clément
1
Guillén, Montserrat
1
Gürtler, Marc
1
Hamerle, Alfred
1
Hassani, Samir Saissi
1
Hesse, Frederik
1
Hibbeln, Martin
1
Jakobsons, Edgars
1
Kolman, Marek
1
Kshatriya, Saranya
1
Lamb, John D.
1
Lau, Christian
1
Liebig, Thilo
1
Lopez, Luca
1
Lütkebohmert-Holtz, Eva
1
Maciag, Jakob
1
Monville, Maura E.
1
Muromachi, Yukio
1
Nagl, Maximilian
1
Nassigh, Aldo
1
Parnes, Dror
1
Pedescu, Mirela
1
Pfeuffer, Marius
1
Pfingsten, Andreas
1
Pioppi, Michele
1
Plank, Kilian
1
Prasanna, Krishna
1
Reffel, Fabian
1
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1
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Journal of risk
Journal of banking & finance
61
Insurance / Mathematics & economics
53
The journal of credit risk : published quarterly by Incisive Media
36
International journal of theoretical and applied finance
31
Finance research letters
24
European journal of operational research : EJOR
22
Risks : open access journal
22
The journal of risk model validation
22
Discussion paper / Deutsche Bundesbank
21
Journal of financial stability
18
Discussion paper / Tinbergen Institute
17
International review of financial analysis
17
Journal of risk management in financial institutions
17
Quantitative finance
17
Bundesbank Series 2 Discussion Paper
16
Research paper series / Swiss Finance Institute
15
Finance and stochastics
14
SpringerLink / Bücher
14
The journal of asset management
13
Applied economics
12
International review of economics & finance : IREF
12
Journal of economic dynamics & control
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Economic modelling
11
Journal of econometrics
11
Journal of risk and financial management : JRFM
11
The European journal of finance
11
The North American journal of economics and finance : a journal of financial economics studies
11
Journal of international financial markets, institutions & money
10
Journal of investment management : JOIM
10
Journal of mathematical finance
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of fixed income
10
Dresdner Beiträge zu quantitativen Verfahren
9
International journal of forecasting
9
Journal of empirical finance
9
Journal of financial services research : JFSR
9
The journal of computational finance
9
Working paper series
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ECONIS (ZBW)
21
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1
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
2
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
3
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:
4
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
5
An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea
;
Deliu, Dragos
;
Lopez, Luca
;
Nassigh, Aldo
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
Saved in:
6
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
7
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
Saved in:
8
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
9
Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David
;
Florentin, Clément
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
Saved in:
10
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
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