Financial Crisis: A New Measure for Risk of Pension Fund Portfolios
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DOI: 10.1371/journal.pone.0129471
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References listed on IDEAS
- Bianchi, Sergio & Pianese, Augusto, 2014. "Multifractional processes in finance," Risk and Decision Analysis, IOS Press, issue 5, pages 1-22.
- Sergio Bianchi, 2005. "Pathwise Identification Of The Memory Function Of Multifractional Brownian Motion With Application To Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 255-281.
- Sergio, Bianchi & Alessandro, Trudda, 2008. "Global Asset Return in Pension Funds: a dynamical risk analysis," MPRA Paper 12011, University Library of Munich, Germany, revised 14 Jun 2008.
Citations
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Cited by:
- Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017. "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, vol. 22(C), pages 20-29.
- Matthieu Garcin, 2019. "Fractal analysis of the multifractality of foreign exchange rates [Analyse fractale de la multifractalité des taux de change]," Working Papers hal-02283915, HAL.
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