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Barone, Emilio - In: Rivista di politica economica 86 (1997) 11, pp. 169-208

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Unconditional and conditional modeling of non-normal return densities : with application to risk measurement

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Optimal portfolio management in highly volatile markets

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Spectral risk measure of holding stocks in the long run

Bihary, Zsolt; Csóka, Péter; Szabó, Dávid Zoltán - 2018

We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

Persistent link: https://www.econbiz.de/10012011388