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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo
;
Halbleib, Roxana
-
2019
This paper proposes a novel and simple approach to compute daily
Value
at
Risk
(VaR) and Expected Shortfall (ES …
Persistent link: https://www.econbiz.de/10012317619
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