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A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR
Jamal Agouram,
Ghizlane Lakhnati
J. Financ. Risk Manag.
Vol.4 No.2, May 25, 2015
DOI:
10.4236/jfrm.2015.42007
(PDF 329K)
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Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model
Samuel Y. M. Ze-To
J. Math. Finance
Vol.2 No.3, August 31, 2012
DOI:
10.4236/jmf.2012.23025
(PDF 302K)
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Strong Consistency of CVaR Optimal Estimator
Xiaolin Li
Open J. Stat.
Vol.8 No.3, May 28, 2018
DOI:
10.4236/ojs.2018.83027
(PDF 683K)
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Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management
Travis R. A. Sapp
J. Math. Finance
Vol.6 No.4, November 09, 2016
DOI:
10.4236/jmf.2016.64046
(PDF 4661K)
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The Role of Trading Volume in Forecasting Market Risk
Skander Slim
J. Financ. Risk Manag.
Vol.5 No.1, March 11, 2016
DOI:
10.4236/jfrm.2016.51004
(PDF 314K)
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