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Oil hedging with a multivariate semiparametric value-at-risk portfolio

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1118-1131

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

Persistent link: https://www.econbiz.de/10014305873

Portfolio behavior of financial institutions : an empirical study with implications for monetary policy, interest-rate determination, and financial model-building

Silber, William L. - 1970

Persistent link: https://www.econbiz.de/10000047761

Financial services and financial institutions : value creation in theory and practice

Dietrich, John Kimball - 1996

Persistent link: https://www.econbiz.de/10000937386

Il sistema finanziario : economia e regolamentazione

Szegö, Giorgio P. - 1995 - 1. ed

Persistent link: https://www.econbiz.de/10000965001

Frontiers of financial management : selected readings

Serraino, William J. (ed.); Singhvi, Surendra S. (contributor) - 1971

Persistent link: https://www.econbiz.de/10000571975

Finance : introduction to institutions, investments, and management

Melicher, Ronald W.; Norton, Edgar - 2000 - 10. ed

Persistent link: https://www.econbiz.de/10001367190

Modeling and measuring reputation risk and spillover effects

Eckert, Christian - 2016

Persistent link: https://www.econbiz.de/10011577063

Asset diversification and systemic risk in the financial system

Zhou, Yichen; Li, Honggang - In: Journal of economic interaction and coordination : JEIC 14 (2019) 2, pp. 247-272

Persistent link: https://www.econbiz.de/10012111538

Eliminating useless portfolios in constrained financial economies

Aouani, Zaier; Cornet, Bernard - In: Economic theory : official journal of the Society for … 63 (2017) 1, pp. 159-190

Persistent link: https://www.econbiz.de/10011723405

Stochastic optimization methods in finance and energy : new financial products and energy market strategies

Bertocchi, Marida (contributor) - 2011

Persistent link: https://www.econbiz.de/10011760893

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