Source: Risks : open access journal 12(8), 132 (2024). doi:10.3390/risks12080132 special issue: "Portfolio Theory, Financial Risk Analysis and Applications / Special Issue

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Quick Introduction into the General Framework of Portfolio Theory

Authors : Philipp Kreins; Stanislaus Maier-Paape; Qiji Jim Zhu

Subjects: general framework of portfolio theory; convex programming; financial mathematics

Source: Risks, Vol 12, Iss 8, p 132 (2024)

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A New Robust Risk Measure: Quantile Shortfall: A new robust risk measure: quantile shortfall

Authors : Chen, You Li; Liu, Yan Yan; Mao, Guang Cai

Subjects: Applications of statistics to actuarial sciences and financial mathematics; risk measure; robust

Source: Acta Mathematica Sinica, English Series. 36:1014-1024

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An Extensive Comparison of Some Well‐Established Value at Risk Methods: An extensive comparison of some well-established value at risk methods

Authors : Wilson Calmon; Eduardo Ferioli; Davi Lettieri

Subjects: Applications of statistics to actuarial sciences and financial mathematics; Time series, auto-correlation, regression, etc. in statistics (GARCH); extreme value theory

Source: International Statistical Review. 89:148-166

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Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach: Quantile-based estimative VaR forecast and dependence measure: a simulation approach

Authors : Khreshna Syuhada; Risti Nur'aini; Mahfudhotin

Subjects: Applications of statistics to actuarial sciences and financial mathematics; QA1-939; 0101 mathematics

Source: Journal of Applied Mathematics, Vol 2020 (2020)J. Appl. Math.

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Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula: Estimation of the value at risk using the stochastic approach of Taylor formula

Authors : Vini Yves Bernadin Loyara; Remi Guillaume Bagré; Diakarya Barro

Subjects: Applications of statistics to actuarial sciences and financial mathematics; Portfolio theory; value-at-risk of the multivariate copula

Source: International Journal of Mathematics and Mathematical Sciences, Vol 2020 (2020)

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Martingale characterizations of risk-averse stochastic optimization problems

Authors : Alois Pichler; Ruben Schlotter

Subjects: Probability measures on topological spaces; Applications of statistics to actuarial sciences and financial mathematics; 90C15, 60B05, 62P05

Source: Mathematical Programming. 181:377-403

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Lambert W normal distribution: a viable extension for skew-normal?: Lambert \(W\) normal distribution: a viable extension for skew-normal?

Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations: Risk parity portfolio optimization under heavy-tailed returns and dynamic correlations

On a preference relation between random variables related to an investment problem

Quick Introduction into the General Framework of Portfolio Theory

Quick Introduction into the General Framework of Portfolio Theory

A New Robust Risk Measure: Quantile Shortfall: A new robust risk measure: quantile shortfall

An Extensive Comparison of Some Well‐Established Value at Risk Methods: An extensive comparison of some well-established value at risk methods

Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach: Quantile-based estimative VaR forecast and dependence measure: a simulation approach

Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula: Estimation of the value at risk using the stochastic approach of Taylor formula

Martingale characterizations of risk-averse stochastic optimization problems

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