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Persistent link: https://www.econbiz.de/10011374139

A network approach to risk theory and portfolio selection

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Uncertainty in historical value-at-risk : an alternative quantile-based risk measure

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A liquidation risk adjustment for value at risk and expected shortfall

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On the network topology of variance decompositions : measuring the connectedness of financial firms

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Efficiency evaluation of fuzzy portfolio in different risk measures via DEA

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Who holds risky assets and how much? : an empirical study based on the HFCS data

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Effect of the time to maturity on the risk of the covered call strategy

Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020

This chapter illustrates the selected issues connected with the covered call strategy: the strategy design, the impact of certain variables (the price of the underlying asset and time to expiration (maturity) on the performance of the values of the ratios delta, gamma, vega, theta, and rho....

Persistent link: https://www.econbiz.de/10012793374

Quantification of risk in classical models of finance

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Equal risk pricing and hedging of financial derivatives with convex risk measures

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