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Multivariate Cox Hidden Markov models with an application to operational risk
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon - In: Scandinavian actuarial journal 2019 (2019) 8, pp. 686-710
Persistent link: https://www.econbiz.de/10012194991
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Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 20 (2020) 10, pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019
eigenvalue-based financial systemic risk indicator. Crucially, it generates portfolios with much lower turnover and superior risk …
Persistent link: https://www.econbiz.de/10012134234
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Orderings of coherent systems with randomized dependent components
Navarro, Jorge; Pellerey, Franco; Di Crescenzo, Antonio - In: European journal of operational research : EJOR 240 (2015) 1, pp. 127-139
Persistent link: https://www.econbiz.de/10010491791
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Remarks on a copula-based conditional value at risk for the portfolio problem
Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
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Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt
Dobrić, Jadran - 2008
Persistent link: https://www.econbiz.de/10003751715
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan (ed.) - 2000
Persistent link: https://www.econbiz.de/10001510446
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Extreme values of tail probabilities
De Schepper, Ann; Heijnen, Bart - 1991
Persistent link: https://www.econbiz.de/10000880750
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Extreme value theory for tail-related risk measures
Gilli, Manfred; Ke͏̈llezi, Evis - 2000
Persistent link: https://www.econbiz.de/10001599884
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Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns
Lesniewski, Andrew - 2016
We develop explicit asymptotic expansions of the portfolio Value-at-Risk (VaR) and portfolio Expected Shortfall (ES … tail decay, the portfolio ES is strictly larger than its VaR. The amount of the risk reduction through merging …
Persistent link: https://www.econbiz.de/10012996706