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A concave security market line
De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - In: Journal of banking & finance 106 (2019), pp. 65-81
Persistent link: https://www.econbiz.de/10012223950
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A new approach to optimal capital allocation for RORAC maximization in banks
Kang, Woo-Young; Poshakwale, Sunil S. - In: Journal of banking & finance 106 (2019), pp. 153-165
Persistent link: https://www.econbiz.de/10012224261
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Higher-order Omega : a performance index with a decision-theoretic foundation
Bi, Hongwei; Huang, Rachel J.; Tzeng, Larry Y.; Zhu, Wei - In: Journal of banking & finance 100 (2019), pp. 43-57
Persistent link: https://www.econbiz.de/10012162443
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Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 101 (2019), pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
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Expected shortfall and portfolio management in contagious markets
Buccioli, Alice; Kokholm, Thomas; Nicolosi, Marco - In: Journal of banking & finance 102 (2019), pp. 100-115
Persistent link: https://www.econbiz.de/10012162736
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Option-Based performance participation
Zagst, Rudi; Kraus, Julia; Bertrand, Philippe - In: Journal of banking & finance 105 (2019), pp. 44-61
Persistent link: https://www.econbiz.de/10012163804
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Model risk of expected shortfall
Lazar, Emese; Zhang, Ning - In: Journal of banking & finance 105 (2019), pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
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An equilibrium model of risk management spillover
Huang, Shiyang; Jiang, Ying; Qiu, Zhigang; Ye, Zhiqiang - In: Journal of banking & finance 107 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012224486
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Network origins of portfolio risk
Zareei, Abalfazl - In: Journal of banking & finance 109 (2019), pp. 1-29
Persistent link: https://www.econbiz.de/10012224980
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Portfolio selection with mental accounts : an equilibrium model with endogenous risk aversion
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of banking & finance 110 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012225005