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A generalized risk budgeting approach to portfolio construction
Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60
Persistent link: https://www.econbiz.de/10011848310
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Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10011820567
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Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms
Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536
Persistent link: https://www.econbiz.de/10011470947
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Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
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Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE
Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113
Persistent link: https://www.econbiz.de/10011804846
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Risk measures in simulation-based business valuation : classification of risk measures in risk axiom systems and application in valuation practice
Ernst, Dietmar - In: Risks : open access journal 11 (2023) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014232597
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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao; Chen, Qian; Gerlach, Richard - In: Quantitative finance 19 (2019) 6, pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
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Estimation of risk contributions with MCMC
Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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Extremal risk management : expected shortfall value verification using the bootstrap method
Malecka, Marta - In: The journal of computational finance 23 (2020) 4, pp. 35-59
Persistent link: https://www.econbiz.de/10012212484