scholarly journals On the link between monetary and star-shaped risk measures

2022 ◽  
pp. 109345
Author(s):  
Marlon Ruoso Moresco ◽  
Marcelo Brutti Righi
Keyword(s):  
Risk Measures

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

Quality control of risk measures: backtesting VAR models

2007 ◽  
Vol 9 (2) ◽  
pp. 39-54 ◽  
Author(s):  
Victor de la Pena ◽  
Ricardo Rivera ◽  
Jesus Ruiz-Mata
Keyword(s):  
Quality Control ◽  
Risk Measures ◽  
Var Models

Alternative risk measures for alternative investments

2006 ◽  
Vol 8 (4) ◽  
pp. 1-32 ◽  
Author(s):  
A Chabaane ◽  
J Laurent ◽  
Y Malevergne ◽  
F Turpin
Keyword(s):  
Risk Measures ◽  
Alternative Investments

Two sides of the same coin: risk measures in the energy markets

2016 ◽  
Vol 9 (2) ◽  
pp. 51-68 ◽  
Author(s):  
Saša Žiković ◽  
Ivana Tomas Žiković
Keyword(s):  
Risk Measures ◽  
Energy Markets ◽  
Two Sides

Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

2010 ◽  
Vol 13 (2) ◽  
pp. 71-100 ◽  
Author(s):  
Ritesh Kumar ◽  
Gautam Mitra ◽  
Diana Roman
Keyword(s):  
Portfolio Optimization ◽  
Risk Measures

An adaptive procedure for estimating coherent risk measures based on generalized scenarios

2008 ◽  
Vol 11 (4) ◽  
pp. 1-31 ◽  
Author(s):  
Vadim Lesnevski ◽  
Barry Nelson ◽  
Jeremy Staum
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Adaptive Procedure ◽  
Coherent Risk

An empirical investigation of the rank correlation between different risk measures

2004 ◽  
Vol 6 (4) ◽  
pp. 55-74 ◽  
Author(s):  
Andreas Pfingsten ◽  
Peter Wagner ◽  
Carsten Wolferink
Keyword(s):  
Empirical Investigation ◽  
Risk Measures ◽  
Rank Correlation

An analysis of risk measures

2002 ◽  
Vol 4 (4) ◽  
pp. 53-75 ◽  
Author(s):  
Guojun Wu ◽  
Zhijie Xiao
Keyword(s):  
Risk Measures
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