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A Value at Risk Approach to Risk-Return Analysis
5 references·9 citing·38 second hop
A Value at Risk Approach to Risk-Return Analysis (1999)A Value at Risk Approach to Risk-Return A…Adjusting for risk: (2000)Adjusting for risk:Value at Risk (1997)Value at RiskHot Spots™ and Hedges (1996)Hot Spots™ and HedgesVAR: Seductive but Dangerous (1995)VAR: Seductive but DangerousThe Sharpe Ratio (1994)The Sharpe RatioThe added value and differentiation among ESG investment strategies in stock markets (2022)The added value and different…Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market (2021)Do low-carbon investments in …A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms (2018)A new bi-objective fuzzy port…Do ETFs provide effective international diversification? (2011)Do ETFs provide effective int…The 101 Ways to Measure Portfolio Performance (2009)The 101 Ways to Measure Portf…L-performance with an application to hedge funds (2009)L-performance with an applica…Conditionally fitted Sharpe performance with an application to hedge fund rating (2009)Conditionally fitted Sharpe p…Interpreting the Sharpe ratio when excess returns are negative (2004)Interpreting the Sharpe ratio…Portfolio Performance Evaluation Using Value at Risk (2003)Portfolio Performance Evaluat…Mutual Fund Performance (1966)Beyond Value at Risk: The New Science of Risk Management (1998)Does the Measure Matter in the Mutual Fund Industry? (2008)Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement (2012)Can deep learning predict risky retail investors? A case study in financial risk behavior forecasting (2019)The Statistics of Sharpe Ratios (2002)Constant and variable returns to scale DEA models for socially responsible investment funds (2013)Does the choice of performance measure influence the evaluation of commodity investments? (2014)An Overview of Value at Risk (1997)Hedging and value at risk: A semi‐parametric approach (2009)The dynamic Black–Litterman approach to asset allocation (2016)DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure (2017)International Diversification of Investment Portfolios (1970)Theory of Financial Decision Making. (1988)Are alternative energies a real alternative for investors? (2018)Modern Portfolio Theory and Investment Analysis. (1982)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Fuzzy sets (1965)Fuzzy sets (1996)Coherent Measures of Risk (1999)Adaptive online portfolio selection with transaction costs (2021)Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms (2021)A Deep Learning Based Expert Framework for Portfolio Prediction and Forecasting (2024)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)Are digital trends driving corporate environmental, social, and governance practices? Evidence from China (2024)Decoding the impact of firm‐level ESG performance on financial disclosure quality (2024)ESG reporting, corporate green innovation and interaction role of board diversity: A new insight from US (2024)Measuring Bank Efficiency When Managers Trade Return for Reduced Risk (1997)How Accurate are Value-at-Risk Models at Commercial Banks (2001)Multi-Period VaR-Constrained Portfolio Optimization with Applications to the Electric Power Sector (2005)Risk 2 : Measuring the Risk in Value at Risk (1996)Evaluating Value at Risk Methodologies: Accuracy versus Computational Time (1997)The hidden dangers of historical simulation (2005)Conditional Value-at-Risk: Optimization Approach (2001)On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up (2005)Risk‐Taking and Risk Management by Banks (2015)
this work references cited by second hop

References

  • 1994The Sharpe Ratio2,542 cited
  • 1995VAR: Seductive but Dangerous362 cited
  • 2000Adjusting for risk:178 cited
  • 1996Hot Spots™ and Hedges125 cited
  • 1997Value at Risk103 cited

Cited by

  • 2003Portfolio Performance Evaluation Using Value at Risk74 cited
  • 2018A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms74 cited
  • 2022The added value and differentiation among ESG investment strategies in stock markets56 cited
  • 2011Do ETFs provide effective international diversification?56 cited
  • 2004Interpreting the Sharpe ratio when excess returns are negative53 cited
  • 2009The 101 Ways to Measure Portfolio Performance51 cited
  • 2021Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market46 cited
  • 2009L-performance with an application to hedge funds37 cited
  • 2009Conditionally fitted Sharpe performance with an application to hedge fund rating27 cited

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