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Expected Shortfall: a natural coherent alternative to Value at Risk

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Cited by:

  1. Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005. "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia 343, Banco de la Republica de Colombia.
  2. Shangmei Zhao & Qing Lu & Liyan Han & Yong Liu & Fei Hu, 2015. "A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution," Annals of Operations Research, Springer, vol. 226(1), pages 727-739, March.
  3. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
  4. Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017. "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, vol. 63(C), pages 31-40.
  5. Massimiliano Amarante, 2016. "A representation of risk measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 95-103, April.
  6. Thilini V. Mahanama & Abootaleb Shirvani, 2020. "A Natural Disasters Index," Papers 2008.03672, arXiv.org.
  7. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
  8. Kirsten L. MacDonald & Robert J. Bianchi & Michael E. Drew, 2020. "Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3851-3873, December.
  9. Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2024. "The Financial Market of Indices of Socioeconomic Well-Being," JRFM, MDPI, vol. 17(1), pages 1-19, January.
  10. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
  11. Nikola RADIVOJEVIĆ & Luka FILIPOVI & Тomislav D. BRZAKOVIĆ, 2020. "A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-21, March.
  12. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
  13. Calabrese, Raffaella, 2023. "Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data," European Journal of Operational Research, Elsevier, vol. 305(2), pages 989-997.
  14. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group.
  15. Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021. "The time-varying risk of Italian GDP," Economic Modelling, Elsevier, vol. 101(C).
  16. Jerry Anunrojwong & Krishnamurthy Iyer & David Lingenbrink, 2024. "Persuading Risk-Conscious Agents: A Geometric Approach," Operations Research, INFORMS, vol. 72(1), pages 151-166, January.
  17. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
  18. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
  19. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Papers cond-mat/0302402, arXiv.org, revised Jan 2005.
  20. Qi Tang & Danni Yan, 2010. "Autoregressive trending risk function and exhaustion in random asset price movement," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 465-470, November.
  21. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
  22. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
  23. S. Broda & Juan Carlos Arismendi-Zambrano, 2020. "On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗," Economics Department Working Paper Series n302-20.pdf, Department of Economics, National University of Ireland - Maynooth.
  24. De Giorgi, Enrico, 2005. "Reward-risk portfolio selection and stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 895-926, April.
  25. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  26. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
  27. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
  28. Konstantinos Anagnostopoulos & Georgios Mamanis, 2011. "Multiobjective evolutionary algorithms for complex portfolio optimization problems," Computational Management Science, Springer, vol. 8(3), pages 259-279, August.
  29. Li, Jie & Huang, Huaxia & Xiao, Xiao, 2012. "The sovereign property of foreign reserve investment in China: A CVaR approach," Economic Modelling, Elsevier, vol. 29(5), pages 1524-1536.
  30. Tiantian Li & Young Shin Kim & Qi Fan & Fumin Zhu, 2021. "Aumann–Serrano index of risk in portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 197-217, October.
  31. Longfeng Zhao & Chao Wang & Gang-Jin Wang & H. Eugene Stanley & Lin Chen, 2021. "Community detection and portfolio optimization," Papers 2112.13383, arXiv.org.
  32. Feng, Zhen-Hua & Wei, Yi-Ming & Wang, Kai, 2012. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," Applied Energy, Elsevier, vol. 99(C), pages 97-108.
  33. Prayut Jain & Shashi Jain, 2019. "Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification," Risks, MDPI, vol. 7(3), pages 1-27, July.
  34. Castro, Cesar D., 2015. "Riesgo sistémico en el sistema financiero peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 77-90.
  35. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
  36. Gregor Dorfleitner, 2022. "On the use of the terminal-value approach in risk-value models," Annals of Operations Research, Springer, vol. 313(2), pages 877-897, June.
  37. Sungchul Hong & Jong-June Jeon, 2023. "Uniform Pessimistic Risk and its Optimal Portfolio," Papers 2303.07158, arXiv.org, revised May 2024.
  38. Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019, January-A.
  39. Vatis Christian Kemezang & André Ilaire Djou & Ivette Gnitedem Keubeng, 2024. "Measuring market risk with GARCH models under Basel III: selection and application to German firms," SN Business & Economics, Springer, vol. 4(10), pages 1-30, October.
  40. Rodrigo Alfaro & Natán Goldberger, 2012. "Cubrir o no Cubrir: ¿Ese es el Dilema?," Working Papers Central Bank of Chile 662, Central Bank of Chile.
  41. Ardakani, Omid M., 2023. "Coherent measure of portfolio risk," Finance Research Letters, Elsevier, vol. 57(C).
  42. Maria Logvaneva & Mikhail Tselishchev, 2022. "On a Stochastic Model of Diversification," Papers 2204.01284, arXiv.org.
  43. Lisa R. Goldberg & Ola Mahmoud, 2014. "Drawdown: From Practice to Theory and Back Again," Papers 1404.7493, arXiv.org, revised Sep 2016.
  44. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
  45. Papp, Gábor & Kondor, Imre & Caccioli, Fabio, 2021. "Optimizing expected shortfall under an ℓ1 constraint—an analytic approach," LSE Research Online Documents on Economics 111051, London School of Economics and Political Science, LSE Library.
  46. Panna Miskolczi, 2016. "Differences Between Mean-Variance And Mean-Cvar Portfolio Optimization Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 548-557, July.
  47. Miguel Antonio Alba Suárez & Wilmer Pineda-Ríos & Javier Deaza Chaves, 2019. "Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 279-307, Abril-Jun.
  48. Galarza, Christian E. & Matos, Larissa A. & Castro, Luis M. & Lachos, Victor H., 2022. "Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  49. Goldberg, Lisa R & Mouti, Saad, 2022. "Sustainable investing and the cross-section of returns and maximum drawdown," Department of Economics, Working Paper Series qt98f9410b, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  50. Gilbert W. Bassett, 2004. "Pessimistic Portfolio Allocation and Choquet Expected Utility," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 477-492.
  51. Nan Zhang & Heng Xu, 2024. "Fairness of Ratemaking for Catastrophe Insurance: Lessons from Machine Learning," Information Systems Research, INFORMS, vol. 35(2), pages 469-488, June.
  52. Storti, Giuseppe & Wang, Chao, 2022. "Nonparametric expected shortfall forecasting incorporating weighted quantiles," International Journal of Forecasting, Elsevier, vol. 38(1), pages 224-239.
  53. Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
  54. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
  55. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2019. "Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR," Annals of Operations Research, Springer, vol. 281(1), pages 423-453, October.
  56. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  57. Manuel Kleinknecht & Wing Lon Ng, 2015. "Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 22(4), pages 263-281, October.
  58. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
  59. Henryk Zähle, 2011. "Rates of almost sure convergence of plug-in estimates for distortion risk measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 267-285, September.
  60. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Other publications TiSEM 0cd9ce8d-542e-418e-be38-f, Tilburg University, School of Economics and Management.
  61. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
  62. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
  63. Chunhui Xu & Yinyu Ye, 2024. "Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 551-577, July.
  64. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
  65. Jos'e Igor Morlanes, 2017. "Mixed Models as an Alternative to Farima," Papers 1712.03044, arXiv.org.
  66. Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  67. Eugene N. Gurenko & Alexander Itigin, 2009. "Solvency Measures for Insurance Companies : Is There a Room for Improvement?," World Bank Publications - Reports 12831, The World Bank Group.
  68. Falk, Michael & Guillou, Armelle, 2008. "Peaks-over-threshold stability of multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 715-734, April.
  69. Spada, Matteo & Paraschiv, Florentina & Burgherr, Peter, 2018. "A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies," Energy, Elsevier, vol. 154(C), pages 277-288.
  70. Cotter, John & Dowd, Kevin, 2006. "Extreme spectral risk measures: An application to futures clearinghouse margin requirements," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
  71. Feng, Yuanhua & Härdle, Wolfgang Karl, 2020. "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers 2020-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  72. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
  73. Chen, Xiangjin B. & Silvapulle, Param & Silvapulle, Mervyn, 2014. "A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock–bond portfolios," Economic Modelling, Elsevier, vol. 42(C), pages 230-242.
  74. Till Barz & Andreas Nastansky, 2024. "Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen," Statistische Diskussionsbeiträge 57, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
  75. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
  76. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  77. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
  78. Myles Brennan & Adam Kobor & Vidhya Rustaman, 2011. "Diversifying market and default risk in high grade sovereign bond portfolios," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 49-74, Bank for International Settlements.
  79. de Klerk, E. & den Hertog, D. & Elabwabi, G., 2008. "On the complexity of optimization over the standard simplex," European Journal of Operational Research, Elsevier, vol. 191(3), pages 773-785, December.
  80. Chen, An & Stadje, Mitja & Zhang, Fangyuan, 2024. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 114-129.
  81. S. Geissel & H. Graf & J. Herbinger & F. T. Seifried, 2022. "Portfolio optimization with optimal expected utility risk measures," Annals of Operations Research, Springer, vol. 309(1), pages 59-77, February.
  82. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
  83. Iosif Pinelis, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," Papers 1310.6025, arXiv.org.
  84. Chao Wang & Richard Gerlach, 2021. "A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting," Papers 2106.00288, arXiv.org, revised Oct 2022.
  85. Zhao, Longfeng & Wang, Gang-Jin & Wang, Mingang & Bao, Weiqi & Li, Wei & Stanley, H. Eugene, 2018. "Stock market as temporal network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1104-1112.
  86. Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009. "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 87-107, May.
  87. Adam, Timo & Mayr, Andreas & Kneib, Thomas, 2022. "Gradient boosting in Markov-switching generalized additive models for location, scale, and shape," Econometrics and Statistics, Elsevier, vol. 22(C), pages 3-16.
  88. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques b05078, Université Panthéon-Sorbonne (Paris 1).
  89. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  90. Eling, Martin & Jung, Kwangmin, 2018. "Copula approaches for modeling cross-sectional dependence of data breach losses," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 167-180.
  91. Istvan Varga-Haszonits & Imre Kondor, 2008. "The instability of downside risk measures," Papers 0811.0800, arXiv.org, revised Nov 2008.
  92. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
  93. Phillip Monin & Thaleia Zariphopoulou, 2014. "On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management," Staff Discussion Papers 14-01, Office of Financial Research, US Department of the Treasury.
  94. Srečko Devjak & Andraž Grum, 2006. "Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(4), pages 364-373.
  95. Eric Beutner & Henryk Zähle, 2018. "Bootstrapping Average Value at Risk of Single and Collective Risks," Risks, MDPI, vol. 6(3), pages 1-30, September.
  96. Joanna Górka, 2009. "Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 39-50.
  97. Enrico De Giorgi, "undated". "A Note on Portfolio Selection under Various Risk Measures," IEW - Working Papers 122, Institute for Empirical Research in Economics - University of Zurich.
  98. Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2013. "Minimizing shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1533-1545, October.
  99. Emanuel Sommer & Karoline Bax & Claudia Czado, 2022. "Vine Copula based portfolio level conditional risk measure forecasting," Papers 2208.09156, arXiv.org, revised Feb 2023.
  100. Philippe J S De Brouwer, 2012. "Target-oriented investment advice," Journal of Asset Management, Palgrave Macmillan, vol. 13(2), pages 102-114, April.
  101. Lazar, Emese & Pan, Jingqi & Wang, Shixuan, 2024. "On the estimation of Value-at-Risk and Expected Shortfall at extreme levels," Journal of Commodity Markets, Elsevier, vol. 34(C).
  102. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
  103. Burren, Daniel, 2013. "Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 551-568.
  104. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
  105. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
  106. Trindade, A. Alexandre & Zhu, Yun, 2007. "Approximating the distributions of estimators of financial risk under an asymmetric Laplace law," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3433-3447, April.
  107. Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
  108. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
  109. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
  110. Panna, Miskolczi, 2017. "Note On Simple And Logarithmic Return," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 11(1-2), September.
  111. Bassetti, Federico & De Giuli, Maria Elena & Nicolino, Enrica & Tarantola, Claudia, 2018. "Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1107-1121.
  112. Gah-Yi Ban & Noureddine El Karoui & Andrew E. B. Lim, 2018. "Machine Learning and Portfolio Optimization," Management Science, INFORMS, vol. 64(3), pages 1136-1154, March.
  113. Elisabetta Cagna & Giulio Casuccio, 2014. "Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall," CeRP Working Papers 142, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  114. Witt, Rudolf & Waibel, Hermann, 2009. "Lower Partial Moments as a measure of vulnerability to poverty in Cameroon," Hannover Economic Papers (HEP) dp-434, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  115. Gilbert W. Bassett Jr Bassett & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers 09/04, Institute for Fiscal Studies.
  116. Ahmad Hajihasani & Ali Namaki & Nazanin Asadi & Reza Tehrani, 2020. "Non-Extensive Value-at-Risk Estimation During Times of Crisis," Papers 2005.09036, arXiv.org, revised Jan 2021.
  117. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
  118. Pinelis, Iosif, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper 51361, University Library of Munich, Germany.
  119. Bernardi Mauro & Roy Cerqueti & Arsen Palestini, 2016. "Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall," Papers 1608.02365, arXiv.org.
  120. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  121. Nieto, María Rosa, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
  122. Alex Karagrigoriou & George-Jason Siouris & Despoina Skilogianni, 2019. "Adjusted Evaluation Measures for Asymmetrically Important Data," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(1), pages 41-66, June.
  123. Wang, Yi & Sun, Qi & Zhang, Zilu & Chen, Liqing, 2022. "A risk measure of the stock market that is based on multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
  124. Michael Weylandt & Yu Han & Katherine B. Ensor, 2019. "Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility," Papers 1907.10152, arXiv.org.
  125. Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun, 2019. "Mark to market value at risk," Journal of Econometrics, Elsevier, vol. 208(1), pages 299-321.
  126. Quaranta, Anna Grazia & Zaffaroni, Alberto, 2008. "Robust optimization of conditional value at risk and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2046-2056, October.
  127. Weskamp, Christoph & Koberstein, Achim & Schwartz, Frank & Suhl, Leena & Voß, Stefan, 2019. "A two-stage stochastic programming approach for identifying optimal postponement strategies in supply chains with uncertain demand," Omega, Elsevier, vol. 83(C), pages 123-138.
  128. Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.
  129. Silvana Stefani & Gleda Kutrolli & Enrico Moretto & Sergei Kulakov, 2020. "Managing Meteorological Risk through Expected Shortfall," Risks, MDPI, vol. 8(4), pages 1-23, November.
  130. Dilip mookerhjee, 2005. "New Directions in Development Economics: Theory or Empirics? - Is There Too Little Theory in Development Economics?," Boston University - Department of Economics - Working Papers Series WP2005-028, Boston University - Department of Economics.
  131. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
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