Add to ORKGCe article est publié en Août (2005) dans International journal of theoretical and Applied finance.In this paper, we generalize the parametric delta-VaR method from portfolios with normally distributed risk factors to portfolios with ellipticallydistributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios.Special attention is given to the particular case ofa multivariate t-distribution
We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure v...
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
In this work we derive an exact formula to calculate the Expected Shortfall (ES) value for the one-f...
In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distribut...
This paper is accepted to appear in Springer Journal of computing and visualization in science.In th...
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the ...
Focus is directed to a class of risk measures for portfolio optimization with two types of disutilit...
We provide an accurate closed-form expression for the expected shortfall of linear portfolios with e...
Computable expressions are derived for the Expected Shortfall of portfolios whose value is a quadrat...
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the...
The particular subject of this paper, is to give an explicit formulas that will permit to obtain the...
This paper is devoted to study the optimal portfolio problem. Harry Markowitz’s Ph.D. thesis prepare...
Previous research has focused on the importance of modeling the multivariate distribution for optima...
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure v...
We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure v...
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
In this work we derive an exact formula to calculate the Expected Shortfall (ES) value for the one-f...
In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distribut...
This paper is accepted to appear in Springer Journal of computing and visualization in science.In th...
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the ...
Focus is directed to a class of risk measures for portfolio optimization with two types of disutilit...
We provide an accurate closed-form expression for the expected shortfall of linear portfolios with e...
Computable expressions are derived for the Expected Shortfall of portfolios whose value is a quadrat...
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the...
The particular subject of this paper, is to give an explicit formulas that will permit to obtain the...
This paper is devoted to study the optimal portfolio problem. Harry Markowitz’s Ph.D. thesis prepare...
Previous research has focused on the importance of modeling the multivariate distribution for optima...
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure v...
We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure v...
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
In this work we derive an exact formula to calculate the Expected Shortfall (ES) value for the one-f...