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Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian; Nigbur, Tobias; Seeger, Norman - In: Journal of empirical finance 42 (2017), pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
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Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
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A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David; Lizieri, Colin; Satchell, Stephen - In: Journal of empirical finance 58 (2020), pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
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Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon; Wu, Feng - In: Journal of empirical finance 58 (2020), pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
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A factor-based approach of bond portfolio value-at-risk : the informational roles of macroeconomic and financial stress factors
Tu, Anthony H.; Chen, Yi-Hsuan - In: Journal of empirical finance 45 (2018), pp. 243-268
Persistent link: https://www.econbiz.de/10012102413
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Asset pricing with extreme liquidity risk
Wu, Ying - In: Journal of empirical finance 54 (2019), pp. 143-165
Persistent link: https://www.econbiz.de/10012174793
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Conditional tail-risk in cryptocurrency markets
Borri, Nicola - In: Journal of empirical finance 50 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012169911
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Dynamic portfolio allocation with time-varying jump risk
Zhou, Chunyang; Wu, Chongfeng; Wang, Yudong - In: Journal of empirical finance 50 (2019), pp. 113-124
Persistent link: https://www.econbiz.de/10012169946