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Correlation surprise
Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399
Persistent link: https://www.econbiz.de/10010258478
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Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
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The role of correlation in risk profile portfolios
Vandenbroucke, Jürgen - In: The journal of asset management 18 (2017) 2, pp. 144-153
Persistent link: https://www.econbiz.de/10011695012
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Hedge funds risk and connectedness
Manicaro, Christian; Falzon, Joseph - In: The journal of asset management 18 (2017) 4, pp. 295-316
Persistent link: https://www.econbiz.de/10011741590
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian; Nigbur, Tobias; Seeger, Norman - In: Journal of empirical finance 42 (2017), pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
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Constraints in quantitative strategies : an alignment perspective
Saxena, Anureet; Martin, Chris; Stubbs, Robert A. - In: The journal of asset management 14 (2013) 5, pp. 278-292
Persistent link: https://www.econbiz.de/10010237944
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Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
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A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David; Lizieri, Colin; Satchell, Stephen - In: Journal of empirical finance 58 (2020), pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
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Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon; Wu, Feng - In: Journal of empirical finance 58 (2020), pp. 412-435
Persistent link: https://www.econbiz.de/10012430713