The following pages link to (Q4220711):
Displaying 39 items.
- Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
- Portfolio optimization under loss aversion (Q322671) (← links)
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430) (← links)
- Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach (Q507996) (← links)
- The one-year non-life insurance risk (Q659122) (← links)
- Estimating value at risk of portfolio by conditional copula-GARCH method (Q659148) (← links)
- Weighted V\@R and its properties (Q854285) (← links)
- Real-time assessment of value-at-risk and volatility accuracy (Q864231) (← links)
- Optimal portfolios under a value-at-risk constraint (Q953643) (← links)
- Shortfall as a risk measure: properties, optimization and applications (Q953649) (← links)
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (Q1023678) (← links)
- Empirical likelihood-based evaluations of value at risk models (Q1044277) (← links)
- High volatility, thick tails and extreme value theory in value-at-risk estimation. (Q1423365) (← links)
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis. (Q1605418) (← links)
- In search of robust methods for multi-currency portfolio construction by value at risk (Q1732977) (← links)
- Mark to market value at risk (Q1739653) (← links)
- Value at risk methodology under soft conditions approach (fuzzy-stochastic approach) (Q1887922) (← links)
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution (Q1927130) (← links)
- Regularization methods for optimization problems with probabilistic constraints (Q1949268) (← links)
- How should the cost of joint risk capital be allocated for performance measurement? (Q2426573) (← links)
- On Bayesian value at risk: from linear to non-linear portfolios (Q2431780) (← links)
- The impact of financial leverage on risk of equity measured by loss-oriented risk measures: an option pricing approach (Q2433491) (← links)
- The use of GARCH models in VaR estimation (Q2485471) (← links)
- Inverse stochastic dominance constraints and rank dependent expected utility theory (Q2502203) (← links)
- Managing value-at-risk for a bond using bond put options (Q2642582) (← links)
- Portfolio Risk Management with CVaR-Like Constraints (Q3088971) (← links)
- Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes (Q3466767) (← links)
- SUPPLY CHAIN COORDINATION WITH CVaR CRITERION (Q3632036) (← links)
- Semiparametric estimation of Value at Risk (Q4458356) (← links)
- A semi-parametric approach to risk management (Q4647288) (← links)
- Markov switch smooth transition HYGARCH model: Stability and estimation (Q5077192) (← links)
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets (Q5162844) (← links)
- A New Family of Nonparametric Quantile Estimators (Q5451144) (← links)
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (Q5692937) (← links)
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (Q5696292) (← links)
- Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (Q5697593) (← links)
- Application of Coherent Risk Measures to Capital Requirements in Insurance (Q5718353) (← links)
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase (Q5956045) (← links)
