Portfolio risk analysis.

MaRDI QIDQ3560005zbMATH OpenFDO

Authors Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk

Publication date 19 May 2010

zbMATH Keywords

portfolio risk analysisquantitative modellingstatistics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cited in

(16)

• Quantitative methods for portfolio analysis. MTV model approach
• Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
• The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
• Postmodern portfolio theory. Navigating abnormal markets and investor behavior
• On the Bayesian interpretation of Black-Litterman
• A further analysis of robust regression modeling and data mining corrections testing in global stocks
• Demand for risky financial assets: A portfolio analysis
• Risk Analysis in Finance and Insurance
• Financial risk modelling and portfolio optimization with R
• Optimal trading strategies -- a time series approach
• Models for Investors in Real World Markets
• Risk-return relationship and portfolio management
• Risk and portfolio analysis. Principles and methods.
• Portfolio management under stress. A Bayesian-net approach to coherent asset allocation
• Large-dimensional independent component analysis: statistical optimality and computational tractability
• Investments: the (almost) century of Markowitz. Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire

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