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~person:"Hoogerheide, Lennart"
~person:"Schulze, Gordon"
~source:"econis"
~subject:"Value at Risk"
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Value at Risk
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Hoogerheide, Lennart
Schulze, Gordon
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4
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3
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1
Downside-orientiertes Portfoliomanagement
Reichling, Peter
;
Schulze, Gordon
-
2017
Persistent link: https://www.econbiz.de/10011629137
Saved in:
2
Downside-orientiertes Portfoliomanagement
Reichling, Peter
-
2017
Einführung -- Downside-Risiko-Kriterien -- Downside-minimale Portfolios -- Downside-Restriktionen -- Downside-Effizienz -- Downside-orientierte Bewertung -- Downside-orientierte Portfolioabsicherung -- Zusammenfassung.
Persistent link: https://www.econbiz.de/10014019581
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3
A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
2011
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...
Persistent link: https://www.econbiz.de/10011382695
Saved in:
4
Bayesian forecasting of
value
at
risk
and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
2008
An efficient and accurate approach is proposed for forecasting
Value
at
Risk
[VaR] and Expected Shortfall [ES] measures …
Persistent link: https://www.econbiz.de/10011377096
Saved in:
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