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Systemic risk-driven portfolio selection

Capponi, Agostino; Rubtsov, Alexey - In: Operations research 70 (2022) 3, pp. 1598-1612

Persistent link: https://www.econbiz.de/10013366163

Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

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Investment strategy in Brazil's financial market : wide possibilities of choice between risk and return

Feijó, Ricardo - In: International journal of economics and finance 12 (2020) 8, pp. 40-51

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When to hedge downside risk?

Giannikos, Christos; Guirguis, Hany; Kakolyris, Andreas; … - In: Risks : open access journal 12 (2024) 2, pp. 1-20

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …

Persistent link: https://www.econbiz.de/10014497324

A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility

Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022

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Systematic tail risk

Oordt, Maarten R. C. van; Chen Zhou - 2013

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Selection of the right risk measures for portfolio allocation

Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156

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Detecting prudence and temperance in risk exposure : the hybrid variance framework

Gao, Jun; Gao, Xiang; Liu, Xiaoli; Wang, Zhan - In: Journal of risk 24 (2022) 5, pp. 75-88

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The diversification effect of defense business on risk and return

Zhong, Ke; Cao, Yong; Liao, Kun - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 33-66

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CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337