In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...

This paper presents a theorical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...

Plusieurs études récentes montrent que les caractéristiques des dirigeants de PME en hyper-croissance (histoires et expériences professionnelles, aptitudes managériales et motivations personnelles au regard de la croissance de leur entreprise) de même que la composition des équipes...

The evolution of firms' investment behavior is interpreted by heterodox theories as the resultant of the financialization of the accumulation regime. The French School of Regulation thus introduces the notion of patrimonial capitalism. The strategies of productive and financial investments, and...