On measuring nonlinear risk with scarce observations

DOI10.1007/S00780-009-0107-YMaRDI QIDQ650755zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 27 November 2011

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-009-0107-y

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Analytical methods for hedging systematic credit risk with linear factor portfolios

Cited in

(6)

• A nested factor model for non-linear dependencies in stock returns
• A model-free identification of relative risk
• On decoupling of functions of normal vectors. II
• On decoupling of functions of normal vectors
• Crisis risk prediction with concavity from polymodel
• A note on the impact of nonlinear reward and risk measures

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