On measuring nonlinear risk with scarce observations

DOI10.1007/S00780-009-0107-YzbMATH Open1226.91066OpenAlexW3122450402MaRDI QIDQ650755FDOQ650755

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

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Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Analytical methods for hedging systematic credit risk with linear factor portfolios

Cited In (6)

• On decoupling of functions of normal vectors
• A note on the impact of nonlinear reward and risk measures
• Crisis risk prediction with concavity from polymodel
• 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

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