Similar Search Results

Subadditivity re-examined : the case for value-at-risk

Daníelsson, Jón; Jorgensen, Bjorn N.; Mandira, Sarma; … - 2005

Persistent link: https://www.econbiz.de/10003358396

Fat tails, VaR and subadditivity

Daníelsson, Jón; Jorgensen, Bjorn N.; Samorodnitsky, … - In: Journal of econometrics 172 (2013) 2, pp. 283-291

Persistent link: https://www.econbiz.de/10009706202

Vof or VaR?: Firm value and risk management

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 1999

Persistent link: https://www.econbiz.de/10001473033

Incentives for effective risk management

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

Persistent link: https://www.econbiz.de/10001616923

Incentives for effective risk management

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - In: Journal of banking & finance 26 (2002) 7, pp. 1407-1425

Persistent link: https://www.econbiz.de/10001688518

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

Persistent link: https://www.econbiz.de/10001720508

Comparing downside risk measures for heavy tailed distributions

Daníelsson, Jón; Jorgensen, Bjorn N.; Sarma, Mandira; … - 2005

Persistent link: https://www.econbiz.de/10003358411

Consistent measures of risk

Daníelsson, Jón; Jorgensen, Bjorn N.; Sarma, Mandira; … - 2006

Persistent link: https://www.econbiz.de/10003358836

Comparing downside risk measures for heavy tailed distributions

Daníelsson, Jón; Jorgensen, Bjorn N.; Sarma, Mandira; … - In: Economics letters 92 (2006) 2, pp. 202-208

Persistent link: https://www.econbiz.de/10003360851

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

Persistent link: https://www.econbiz.de/10011317459