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Shortfall Deviation Risk : An Alternative for Risk Measurement
Righi, Marcelo Brutti - 2016
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also...
Persistent link: https://www.econbiz.de/10013005534
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Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
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Conditional value at risk-minimale future hedges
Albrecht, Peter - 2012
Persistent link: https://www.econbiz.de/10009742092
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Zur Theorie des Value at Risk-minimalen Hedges
Albrecht, Peter - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 63 (2011) 1, pp. 2-18
Persistent link: https://www.econbiz.de/10008841087
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Quantile maximizing safety-first investors : separation, performance measurement and capital market equilibrium
Albrecht, Peter - 2012
Persistent link: https://www.econbiz.de/10009578723
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Safety first-Portfoliooptimierung bei Beschränkung des Conditional Value at Risk
Albrecht, Peter - 2012
Persistent link: https://www.econbiz.de/10009578725
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Theoretische Grundlagen des Minimum-Value at Risk-Hedges
Albrecht, Peter - 2010
Persistent link: https://www.econbiz.de/10008903635
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Safety first-Investoren : Separation, Performancemessung und Kapitalmarktgleichgewicht
Albrecht, Peter - 2010
Persistent link: https://www.econbiz.de/10008903640
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Cost-Average-Strategie versus Einmalanlage : Shortfallrisiken und Probable Minimum Wealth
Albrecht, Peter; Dus, Ivica; Maurer, Raimond - In: Finanzintermediation : theoretische, …, (pp. 49-67). 2004
Persistent link: https://www.econbiz.de/10002078239
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Risk pooling and solvency regulation : a policyholder's perspective
Huggenberger, Markus; Albrecht, Peter - In: The journal of risk & insurance 89 (2022) 4, pp. 907-950
Persistent link: https://www.econbiz.de/10013465877