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Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix; Pitera, Marcin - In: Journal of risk 22 (2019) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
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Forecasting exchange rate correlations using options and high-frequency data
Moldenhauer, Felix - 2011
Persistent link: https://www.econbiz.de/10009383091
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Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313
Persistent link: https://www.econbiz.de/10014370659
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Long run risk sensitive portfolio with general factors
Pitera, Marcin; Stettner, Łukasz - In: Mathematical methods of operations research 83 (2016) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10011673660