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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

Persistent link: https://www.econbiz.de/10009576319

A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices

Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389

Persistent link: https://www.econbiz.de/10011433225

Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios

Tsai, Jeffrey Tzuhao; Lo, Chien-Ling - In: Pacific-Basin finance journal 83 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014491177

Financial decision-making under distribution uncertainty

Kacperczyk, Marcin - 2004

Persistent link: https://www.econbiz.de/10003386915

Modifikation der Verteilungsannahme im Value-at-Risk-Modell

Jödicke, Ralf; Schremper, Ralf - 1999

Persistent link: https://www.econbiz.de/10001404275

Improved detection of rare-event risk of a portfolio with US REITs

So, Leh-Chyan; Yu, Jun-Yang - In: Annals of financial economics 10 (2015) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011408574

Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures

Gatfaoui, Hayette - In: Energy economics 80 (2019), pp. 132-152

Persistent link: https://www.econbiz.de/10012172340

Tail risk transmission from the United States to emerging stock Markets : empirical evidence from multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014580778

Goodness-of-fit tests for parametric families of Archimedean copulas

Trede, Mark; Savu, Cornelia - 2004

Persistent link: https://www.econbiz.de/10002688693

Goodness-of-fit tests for parametric families of Archimedean copulas

Savu, Cornelia; Trede, Mark - 2004

This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...

Persistent link: https://www.econbiz.de/10009349860