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~person:"Fabozzi, Frank J."
~subject:"Risikomaß"
~type:"article"
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Risikomaß
Portfolio selection
118
Portfolio-Management
118
Theorie
76
Theory
76
Risk management
27
Risikomanagement
26
Anleihe
17
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17
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English
11
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Fabozzi, Frank J.
Wang, Ruodu
21
Hammoudeh, Shawkat
20
Righi, Marcelo Brutti
15
Janabi, Mazin A. M. al
13
McAleer, Michael
13
Mao, Tiantian
12
Rüschendorf, Ludger
12
Cai, Jun
11
Embrechts, Paul
11
Rosazza Gianin, Emanuela
11
Brandtner, Mario
10
Mensi, Walid
10
Härdle, Wolfgang
9
Kang, Sang Hoon
9
Mora-Valencia, Andrés
9
Müller, Fernanda Maria
9
Tiwari, Aviral Kumar
9
Uryasev, Stan
9
Bernard, Carole
8
Karmakar, Madhusudan
8
Vanduffel, Steven
8
Zhu, Shushang
8
Boonen, Tim J.
7
Chen, Zhiping
7
Furman, Edward
7
Klüppelberg, Claudia
7
Kürsten, Wolfgang
7
Li, Duan
7
Li, Jianping
7
Nguyen, Duc Khuong
7
Perote, Javier
7
Pichler, Alois
7
Puccetti, Giovanni
7
Tang, Qihe
7
Alexander, Gordon J.
6
Balbás de la Corte, Alejandro
6
Farkas, Walter
6
Kim, Young Shin
6
Landsman, Zinoviy
6
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
International journal of finance & economics : IJFE
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Operations research models in banking management
1
Review of quantitative finance and accounting
1
The journal of alternative investments : JAI
1
The journal of asset management
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Valuation, financial modeling, and quantitative tools
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ECONIS (ZBW)
11
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11
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1
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
Saved in:
2
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
Saved in:
3
Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan
;
Yu, Baimin
;
Lu, Zu-di
;
Fabozzi, Frank J.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
Saved in:
4
Risk
management
and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
Saved in:
5
Yield curve risk measures
Fabozzi, Frank J.
;
Mann, Steven V.
-
2008
Persistent link: https://www.econbiz.de/10003765477
Saved in:
6
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
7
Portfolio selection in the presence of systemic risk
Biglova, Almira
;
Ortobelli, Sergio
;
Fabozzi, Frank J.
- In:
The journal of asset management
15
(
2014
)
5
,
pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
Saved in:
8
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Operations research models in banking management
,
(pp. 169-187)
.
2013
Persistent link: https://www.econbiz.de/10009739300
Saved in:
9
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
10
Portfolio revision under mean-variance and mean-CVaR with transaction costs
Chen, Andrew H.
;
Fabozzi, Frank J.
;
Huang, Dashan
- In:
Review of quantitative finance and accounting
39
(
2012
)
4
,
pp. 509-526
Persistent link: https://www.econbiz.de/10009690387
Saved in:
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