Search Results - subject:"marginal risk"

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

Kurtosis-based vs volatility-based asset allocation strategies : do they share the same properties? : a first empirical investigation

Braga, Maria Debora; Nava, Consuelo Rubina; Zoia, Maria … - In: Finance research letters 54 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014472764

Risk return trade-off in relaxed risk parity portfolio optimization

Gambeta, Vaughn; Kwon, Roy - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-28

This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and...

Persistent link: https://www.econbiz.de/10012611461

Risk return trade-off in relaxed risk parity portfolio optimization

Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28

Persistent link: https://www.econbiz.de/10012387965

Are we floating yet? : duration of fixed exchange rate regimes

Bizuneh, Menna - In: Eastern economic journal : EEJ 48 (2022) 1, pp. 63-89

Persistent link: https://www.econbiz.de/10012796924

Factors affecting risk efficiency : a data envelopment approach

Ferdushi, Kanis Fatama; Kamil, Anton Abdulhasah - In: International journal of operations and quantitative … 27 (2021) 2, pp. 127-140

Persistent link: https://www.econbiz.de/10013040635

Hedge fund tail risk : an investigation in stressed markets, extended version with appendix

Billio, Monica; Frattarolo, Lorenzo; Pelizzon, Loriana - 2016

Persistent link: https://www.econbiz.de/10011629465

Financial risk taking in the presence of correlated non-financial background risk

Chiu, W. Henry - In: Journal of mathematical economics 88 (2020), pp. 167-179

Persistent link: https://www.econbiz.de/10012589943

Risk-based loan pricing : portfolio optimization approach with marginal risk contribution

Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753

Persistent link: https://www.econbiz.de/10012289204

Generalized Marginal Risk

Keel, Simon; Ardia, David - Volkswirtschaftliche Fakultät, … - 2009

the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this … account of the portfolio. This paper proposes an extension of the traditional marginal risk approach as a means of overcoming … this deficiency. The new concept, named generalized marginal risk, addresses situations where the change in a position …

Persistent link: https://www.econbiz.de/10005103419