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Minimax : portfolio choice based on pessimistic decision making

Schaarschmidt, Steffen; Schanbacher, Peter - In: International journal of economics and finance 6 (2014) 8, pp. 23-40

Persistent link: https://www.econbiz.de/10010399353

Time-Varying Relative Risk Aversion in Global Asset Markets

Martin, Vance L.; Sarkar, Saikat - 2023

The expected risk premia of global stock markets are investigated by extending the intertemporal capital asset pricing model to allow for conditional moments and time-varying relative risk aversion. The derived model is characterized by traditional linear risk factors as well as nonlinear risk...

Persistent link: https://www.econbiz.de/10014354313

Minimax: Portfolio choice based on pessimistic decision making

Schaarschmidt, Steffen - In: Three essays on financial markets and portfolio management, (pp. 53-84). 2013

Persistent link: https://www.econbiz.de/10010442702

Risk measurement with spectral capital allocation

Overbeck, Ludger; Sokolova, Maria - In: Applied quantitative finance, (pp. 139-159). 2009

Persistent link: https://www.econbiz.de/10003746012

Risk measurement with spectral capital allocation

Overbeck, Ludger; Sokolova, M. - In: Applied quantitative finance, (pp. 93-111). 2017

Persistent link: https://www.econbiz.de/10011794955

Extremes of multidimensional stationary diffusion processes and applications in finance

Kunz, Andreas (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001763100

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023

Persistent link: https://www.econbiz.de/10014234202

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 229-244

Persistent link: https://www.econbiz.de/10009517641

Portfolio selection in a two-regime world

Levy, Moshe; Kaplanski, Guy - In: European journal of operational research : EJOR 242 (2015) 2, pp. 514-524

Persistent link: https://www.econbiz.de/10010491664

On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility

Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98

Persistent link: https://www.econbiz.de/10010504792