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Geographical diversification in wheat farming : a copula-based CVaR framework

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The performance of minimum variance portfolios in the Croatian tourism sector

Baresa, Suzana; Bogdan, Sinisa; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 63-72

Croatian economy is largely dependent on tourism, the direct contribution of travel and tourism to GDP is 10.7%, while total contribution amounts 24.7%, tourism has great impact on employment also. Since tourism is one of the most important sectors for Croatian economy, the aim of this research...

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A general framework for portfolio theory : part II: drawdown risk measures

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The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to classical portfolio risk measures such as the standard...

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Risk capacity portfolio construction

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Nonprofit revenue strategy and downside risk : applying portfolio theory and extreme value theory

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