Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
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Publication:2393347
DOI10.1007/S10479-012-1142-1zbMATH Open1269.91082OpenAlexW1999710902MaRDI QIDQ2393347FDOQ2393347
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10.1007/s10479-012-1142-1
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Cited In (17)
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- On the impact of semidefinite positive correlation measures in portfolio theory
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups
- Title not available (Why is that?)
- Using parametric classification trees for model selection with applications to financial risk management
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Multi-period portfolio selection with drawdown control
- A generalized error distribution copula-based method for portfolios risk assessment
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- The impact of covariance misspecification in risk-based portfolios
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
- Portfolio optimization with relative tail risk
- Title not available (Why is that?)
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
- Nearest comoment estimation with unobserved factors
- Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks
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