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Cooperative game with nondeterministic returns
Yang, Jian; Li, Jianbin - In: Journal of mathematical economics 88 (2020), pp. 123-140
Persistent link: https://www.econbiz.de/10012589932
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Introducing global term structure in a risk parity framework
Stagnol, Lauren - 2017
Persistent link: https://www.econbiz.de/10011738994
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Allocating and forecasting changes in risk
Gaigall, Daniel - In: Journal of risk 25 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
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Allocating and forecasting changes in risk
Gaigall, Daniel - In: Journal of risk : JOR 25 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014487054
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Overnight news and daily equity trading risk limits
Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Systemic risk-driven portfolio selection
Capponi, Agostino; Rubtsov, Alexey - In: Operations research 70 (2022) 3, pp. 1598-1612
Persistent link: https://www.econbiz.de/10013366163
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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility
Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022
Persistent link: https://www.econbiz.de/10013539142
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Systematic tail risk
Oordt, Maarten R. C. van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337