Similar Search Results

Narrow search

Measuring downside risk in portfolios with Bitcoin

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Finance a úvěr 71 (2021) 2, pp. 178-200

Persistent link: https://www.econbiz.de/10012703788

Multiscale volatility transmission and portfolio construction between the baltic stock markets

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina - In: Finance a úvěr 69 (2019) 2, pp. 211-235

Persistent link: https://www.econbiz.de/10012137383

How do precious and industrial metals hedge oil in a multi-frequency semiparametric CVaR portfolio?

Živkov, Dejan; Manić, Slavica; Gajić-Glamočlija, Marina - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014534825

How to reduce extreme risk of the US tourism indices? : minimum-CVaR portfolio approach

Živkov, Dejan; Kovačevič-Berlekovič, Bojana; … - In: Finance a úvěr 73 (2023) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10014249185

Energy commodity price risk minimization with precious metals in a multivariate portfolio

Živkov, Dejan; Damnjanović, Jelena; … - In: Finance a úvěr 72 (2022) 1, pp. 50-70

Persistent link: https://www.econbiz.de/10013189236

Multiscale tail risk interdependence between precious metals

Živkov, Dejan; Gajić-Glamočlija, Marina; Ercegovac, … - In: Finance a úvěr 73 (2023) 4, pp. 392-412

Persistent link: https://www.econbiz.de/10014485252

Hedging gas in a multi-frequency semiparametric CVaR portfolio

Živkov, Dejan; Balaban, Suzana; Simić, Milica - In: Research in international business and finance 67 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014451522

Oil hedging with a multivariate semiparametric value-at-risk portfolio

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1118-1131

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

Persistent link: https://www.econbiz.de/10014305873