34 search results - page 2 / 7 » Extremal financial risk models and portfolio evaluation |
AUTOMATICA
2008
13 years 4 months ago
2008
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maxi...
EOR
2006
13 years 5 months ago
2006
The fuzzy set is one of the powerful tools used to describe an uncertain environment. As well as quantifying any potential return and risk, portfolio liquidity is taken into accou...
ANOR
2010
13 years 5 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
EUSFLAT
2009
13 years 3 months ago
2009
Abstract-- A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing ...
HICSS
2008
IEEE
13 years 11 months ago
2008
IEEE
“Don’t put all your eggs in one basket” is common wisdom with respect to financial portfolio theory. The configuration of customer portfolios with regard to appropriate risk...