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Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512

Persistent link: https://www.econbiz.de/10011893687

A non-Gaussian approach to risk measures

Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 532-542

to different methodologies, by employing a bootstrap technique. …

Persistent link: https://www.econbiz.de/10010591258

Terminal wealth problem under uncertainty: how to choose the right asset mix in case of dependent random payments

Ahcan, Ales; Darkiewicz-Moniuszko, Grzegorz; … - In: International Journal of Sustainable Economy 3 (2011) 3, pp. 294-311

We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...

Persistent link: https://www.econbiz.de/10009352660

Risk measures-based cluster methods for finance

Guedes, Pablo Cristini; Müller, Fernanda Maria; Righi, … - In: Risk management : an international journal 25 (2023) 1, pp. 1-56

Persistent link: https://www.econbiz.de/10013490814

Loss function-based change point detection in risk measures

Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431

Persistent link: https://www.econbiz.de/10014340186

Dual SDDP for risk-averse multistage stochastic programs

Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337

Persistent link: https://www.econbiz.de/10014374928

Optimal hedging with variational preferences under convex risk measures

Righi, Marcelo Brutti - In: Quantitative finance 24 (2024) 11, pp. 1703-1709

Persistent link: https://www.econbiz.de/10015196961

Uniqueness of convex-ranged probabilities and applications to risk measures and games

Amarante, Massimiliano; Liebrich, Felix-Benedikt; … - In: Mathematics of operations research 50 (2025) 1, pp. 743-763

Persistent link: https://www.econbiz.de/10015211767

Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution

Bignozzi, Valeria; Merlo, Luca; Petrella, Lea - In: Insurance : mathematics and economics 116 (2024), pp. 44-50

Persistent link: https://www.econbiz.de/10015066778

Modified expected shortfall : a new robust coherent risk measure

Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83

Persistent link: https://www.econbiz.de/10013262918