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CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

Skewness and its impact on financial markets

Regele, Tobias Ulrich Joachim - 2015

Persistent link: https://www.econbiz.de/10011443065

Optimal asset allocation under quadratic loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2012

Persistent link: https://www.econbiz.de/10009656098

Loss aversion and wealth allocation between risky and risk-free assets

Rengifo, Erick W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003485124

Investors facing risk

Rengifo, Erick W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003487479

Loss aversion and wealth allocation when utility is derived from consumption and narrowly framed financial investments

Rengifo, Erick W. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003487490

How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application

Rengifo, Erick W.; Trifan, Emanuela - In: The VaR implementation handbook, (pp. 485-512). 2009

Persistent link: https://www.econbiz.de/10003827118

Optimal asset allocation under quadratic loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2012

problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the … two-asset problem of the QLA investor for a risk-free and a risky asset. We find that the optimal QLA investment in the … the risk-free rate. Finally, we implement the trading strategy of a QLA investor who reallocates her portfolio on a …

Persistent link: https://www.econbiz.de/10009684025

Measuring expectations

Manski, Charles F. - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1329-1376

Persistent link: https://www.econbiz.de/10002197394