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Search Result for: (VaR)
Document Title Author Issue Date
Ranking of VaR and ES Models: Performance in Dev.. [Filer, Randall K.][Zikovic, Sasa] 9-2-2013
Large Covariance Estimation by Thresholding Prin.. [Fan, Jianqing][Liao, Yuan][Mincheva, Martina] 9-1-2013
Estimating High Dimensional Covariance Matrices .. [Bai, Jushan][Shi, Shuzhong] 9-1-2013
Covariance Estimation in High Dimensions via Kro.. [Tsiligkaridis, Theodoros][Hero, Alfred O.] 8-27-2013
CVaR Robust Mean-CVaR Portfolio Optimization [Salahi, Maziar][Mehrdoust, F.][Piri, Farzaneh] 8-24-2013
Distortions of Multivariate Distribution Functio.. [Di Bernardino, Elena][Rullière, Didier] 8-22-2013
Compound Wishart Matrices and Noisy Covariance M.. [Collins, Benoit][McDonald, David][Saad, Nadia] 8-22-2013
Predicting Covariance Matrices with Financial Co.. [Opschoor, Anne][van Dijk, Dick][van der Wel, Michel] 8-22-2013
Su-∆CoVaR [Choi, Pilsun][Min, Insik][Park, Keehwan] 8-21-2013
Vargamma: A Unified Measure of Portfolio Risk [Osband, Kent] 8-17-2013
Optimal Dynamic Portfolio with Mean-CVaR Criteri.. [Li, Jing][Xu, Mingxin] 8-17-2013
Risk Management Beyond VaR [Rowe, David] 8-15-2013
Robust Portfolio Techniques for Mitigating the F.. [Gotoh, Jun-ya][Takeda, Akiko][Shinozaki, Keita] 8-11-2013
Parametric VaR with Goodness-of-Fit Tests Based .. [Moralles, Herick Fernando][Sartoris, Alexandre][Rebelatto, Daisy A.] 8-10-2013
Empirical study for exchange rate risk of CNY: U.. [Wang, Zong-Run][Wu, Weitao] 8-10-2013
VaR Constrained Asset Pricing with Relative Perf.. [Liu, Xiangbo][Qiu, Zhigang][Xiong, Yan] 8-9-2013
A Factor Model for the Calculation of Portfolio .. [Li, Ping][Wang, Xiaoxu][Wang, Haibo] 8-4-2013
Implementation of CoVaR, A Measure for Systemic .. [Bjarnadottir, Frida] 7-25-2013
Risco Sistêmico no Mercado Bancário Brasileiro -.. [Araujo, Gustavo S.][Leao, Sergio] 7-24-2013
Dynamic Mean-CVaR Portfolio Optimization in Cont.. [Gao, Jianjun][Xiong, Yan] 7-23-2013
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