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Law-invariant functionals that collapse to the mean

Bellini, Fabio; Koch Medina, Pablo; Munari, Cosimo-Andrea; … - In: Insurance / Mathematics & economics 98 (2021), pp. 83-91

Persistent link: https://www.econbiz.de/10012545267

Aggregation of opinions and risk measures

Amarante, Massimiliano; Ghossoub, Mario - In: Journal of economic theory 196 (2021), pp. 1-33

Persistent link: https://www.econbiz.de/10012813439

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

A cost-effective approach to portfolio construction with range-based risk measures

Pun, Chi Seng; Wang, Lei - In: Quantitative finance 21 (2021) 3, pp. 431-447

Persistent link: https://www.econbiz.de/10012483832

A simulation comparison of risk measures for portfolio optimization

Righi, Marcelo Brutti; Borenstein, Denis - In: Finance research letters 24 (2018), pp. 105-112

Persistent link: https://www.econbiz.de/10011982511

More accurate measurement for enhanced controls : VaR vs ES?

Guégan, Dominique; Hassani, Bertrand - In: Journal of international financial markets, … 54 (2018), pp. 152-165

Persistent link: https://www.econbiz.de/10011984039

Risk analysis of cumulative intraday return curves

Kokoszka, Piotr; Miao, Hong; Stoev, Stilian; Zheng, Ben - In: Journal of time series econometrics 11 (2019) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012022894

Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

Persistent link: https://www.econbiz.de/10012203657

A continuous selection for optimal portfolios under convex risk measures does not always exist

Baes, Michel; Munari, Cosimo-Andrea - In: Mathematical methods of operations research : ZOR 91 (2020) 1, pp. 5-23

Persistent link: https://www.econbiz.de/10012229500

Automatic Fatou property of law-invariant risk measures

Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei - In: Insurance / Mathematics & economics 105 (2022), pp. 41-53

Persistent link: https://www.econbiz.de/10013348902