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Risk management and dynamic portfolio selection with stable Paretian distributions
16 references·0 citing·35 second hop
Risk management and dynamic portfolio selection with stable Paretian distributions (2009)Risk management and dynamic portfolio sel…THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY (2005)THE PROPER USE OF RISK MEASUR…Different Approaches to Risk Estimation in Portfolio Theory (2004)Different Approaches to Risk …The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (2003)The stable non-Gaussian asset…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsThe variation of certain speculative prices (1997)The variation of certain spec…New methods in statistical economics (1997)New methods in statistical ec…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Portfolio Selection and Asset Pricing—Three-Parameter Framework (1993)Portfolio Selection and Asset…Mutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…The Variation of Some Other Speculative Prices (1967)The Variation of Some Other S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Portfolio Analysis in a Stable Paretian Market (1965)Portfolio Analysis in a Stabl…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)The Analysis of Economic Time-Series-Part I: Prices (1953)Filter Rules and Stock-Market Trading (1966)The Random Character of Stock Market Prices (1968)Capital market seasonality: The case of stock returns (1976)Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models (2018)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Brownian Motion in the Stock Market (1959)A Simplified Model for Portfolio Analysis (1963)The Adjustment of Stock Prices to New Information (1969)Empirical properties of asset returns: stylized facts and statistical issues (2001)A Jump-Diffusion Model for Option Pricing (2002)An Engine, Not a Camera (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
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References

  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 1965Portfolio Analysis in a Stable Paretian Market468 cited
  • 1997New methods in statistical economics434 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited
  • 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited
  • 1993Portfolio Selection and Asset Pricing—Three-Parameter Framework111 cited
  • 2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY74 cited
  • 2003The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

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