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~subject:"Risikomaß"
~isPartOf:"Journal of economic dynamics & control"
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Risikomaß
Portfolio selection
248
Portfolio-Management
248
Theorie
163
Theory
163
CAPM
33
Stochastic process
25
Stochastischer Prozess
25
Risk
24
Capital income
22
Hedging
22
Kapitaleinkommen
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Option pricing theory
22
Optionspreistheorie
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Risiko
22
Financial investment
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Kapitalanlage
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Anlageverhalten
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Behavioural finance
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Risk measure
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Volatility
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Volatilität
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Estimation
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Schätzung
16
Dynamic programming
14
Mathematical programming
14
Mathematische Optimierung
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Consumption theory
13
Konsumtheorie
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Lebenszyklus
12
Life cycle
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Dynamische Optimierung
11
Portfolio choice
11
Risikoaversion
11
Risk aversion
11
Risikoprämie
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English
19
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Alexander, Gordon J.
2
Baptista, Alexandre M.
2
Li, Duan
2
Ankirchner, Stefan
1
Bertsimas, Dimitris
1
Bu, Di
1
Caccioli, Fabio
1
Cui, Xiangyu
1
Fabozzi, Frank J.
1
Fan, Minjie
1
Fricke, Daniel
1
Fukushima, Masao
1
Gao, Jianjun
1
Hamidi, Benjamin
1
Hochreiter, Ronald
1
Huang, Dashan
1
Huang, Jinbo
1
Hyung, Namwon
1
Kellner, Ralf
1
Lauprete, Geoffrey J.
1
Lee, Yong Woong
1
Leippold, Markus
1
Li, Yong
1
Liao, Yin
1
Ling, Aifan
1
MacLean, Leonard C.
1
Maillet, Bertrand
1
Peng, Hongfeng
1
Poon, Ser-Huang
1
Prigent, Jean-Luc
1
Ramadiah, Amanah
1
Rösch, Daniel
1
Samarov, Alexander
1
Sanegre, Rafael
1
Schneider, Judith Christiane
1
Schweizer, Nikolaus
1
Shi, Jing
1
Strub, Moris S.
1
Sun, Jie
1
Trojani, Fabio
1
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Journal of economic dynamics & control
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Journal of risk
55
Risks : open access journal
44
Finance research letters
38
Quantitative finance
34
Economic modelling
30
International review of financial analysis
28
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
International journal of theoretical and applied finance
22
Applied economics
20
The European journal of finance
19
Computational economics
18
Journal of empirical finance
18
The journal of risk model validation
18
Finance and stochastics
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
Operations research
16
International review of economics & finance : IREF
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
Econometric Institute research papers
13
International journal of forecasting
13
Journal of econometrics
13
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
11
Journal of risk management in financial institutions
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Mathematics and financial economics
11
Operations research letters
11
Working papers
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Journal of forecasting
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ECONIS (ZBW)
19
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1
Backtesting macroprudential stress tests
Ramadiah, Amanah
;
Fricke, Daniel
;
Caccioli, Fabio
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-33
Persistent link: https://www.econbiz.de/10013464518
Saved in:
2
Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Bu, Di
;
Liao, Yin
;
Shi, Jing
;
Peng, Hongfeng
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
Saved in:
3
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
4
Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
Saved in:
5
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
6
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
7
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
Saved in:
8
Portfolio
management
with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang
;
Fan, Minjie
;
Li, Duan
- In:
Journal of economic dynamics & control
48
(
2014
),
pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
Saved in:
9
Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan
;
Sun, Jie
;
Yang, Xiaoguang
- In:
Journal of economic dynamics & control
39
(
2014
),
pp. 178-207
Persistent link: https://www.econbiz.de/10010388754
Saved in:
10
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin
;
Maillet, Bertrand
;
Prigent, Jean-Luc
- In:
Journal of economic dynamics & control
46
(
2014
),
pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
Saved in:
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