VAR and use of alternative risk measures of trading risk
- Equity Market Integration and Portfolio Decisions: A Study of NASDAQ USA and MSCI Emerging Markets Asia IndexesRitesh PatelThe Journal of Wealth Management April 2021, 24 (1) 11-39; DOI: https://doi.org/10.3905/jwm.2021.1.129
- Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for CryptoassetsYuan Hu, W. Brent Lindquist and Frank J. FabozziThe Journal of Alternative Investments April 2021, jai.2021.1.133; DOI: https://doi.org/10.3905/jai.2021.1.133
- Turning Tail Risks into TailwindsJérôme Gava, Francisco Guevara and Julien TurcThe Journal of Portfolio Management February 2021, 47 (4) 41-70; DOI: https://doi.org/10.3905/jpm.2021.1.205
- Currency-Hedging Optimization for Multi-Asset PortfoliosHelen Guo and Laura RyanThe Journal of Portfolio Management December 2017, 44 (2) 100-113; DOI: https://doi.org/10.3905/jpm.2018.44.2.100
- Extreme Market Value Declines: How Well Do Rating Agency Assumptions Hold?Ezana Ceman and Francis ParisiThe Journal of Structured Finance October 2018, 24 (3) 79-88; DOI: https://doi.org/10.3905/jsf.2018.24.3.079
- Do Daily Dividends Reduce Stock Return Volatility and Value-at-Risk?MD. Noman SiddikeeThe Journal of Private Equity August 2018, 21 (4) 75-85; DOI: https://doi.org/10.3905/jpe.2018.1.072
- Does Investors’ Fear Gauge in a Mature Market Matter? Evidence from the MENA RegionBana Abuzayed, Nedal Al-Fayoumi and Talah S. ArabiyatThe Journal of Wealth Management April 2018, 21 (1) 71-87; DOI: https://doi.org/10.3905/jwm.2018.21.1.071
- Price Change, Volatility, and Accurate VaR: Evidence from the NSW and QLD Power MarketsRangga Handika and Yusuf KhudriThe Journal of Alternative Investments March 2018, 20 (4) 82-95; DOI: https://doi.org/10.3905/jai.2018.20.4.082
- Bayesian Dynamic Interactions and Predictions: U.S., BRIC, and Frontier Equity MarketsAmanjot SinghThe Journal of Wealth Management January 2018, 20 (4) 96-109; DOI: https://doi.org/10.3905/jwm.2018.20.4.096
- A Case for Tail-Risk-Based Sharpe RatiosJames X. Xiong and Thomas M. IdzorekThe Journal of Portfolio Management January 2018, 44 (3) 114-125; DOI: https://doi.org/10.3905/jpm.2018.44.3.114
Pages
Explore our content to discover more relevant research
- Behavioral Finance
- Theory (34)
- In Markets (20)
- In Wealth Management (50)
- Derivatives
- Options (249)
- Credit default swaps (41)
- Other (98)
- Factors, risk premia
- Factor-based models (220)
- Style investing (91)
- Other (22)
- Fixed income and structured finance
- Project finance (50)
- International Investing
- Legal/regulatory/public policy
- Long-term/retirement investing
- Wealth management (247)
- Retirement (245)
- Social security (34)
- Pension funds (68)
- Other (31)
- Mutual funds/passive investing/indexing
- Mutual fund performance (115)
- Passive strategies (27)
- Other (121)
- Performance measurement
- Volatility measures (72)
- Performance measurement (591)
- Portfolio management/multi-asset allocation
- Portfolio theory (230)
- Portfolio construction (582)
- ESG investing (163)
- Manager selection (87)
- Other (85)
- Quantitative methods
- Statistical methods (437)
- Simulations (143)
- Quantitative methods (265)
- Real assets/alternative investments/private equity
- Real estate (70)
- Commodities (80)
- Other real assets (50)
- Currency (79)
- Private equity (207)
- Risk management
- Credit risk management (106)
- Tail risks (51)
- Risk management (277)
- Security analysis and valuation
- Technical analysis (19)