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Trading Risk Management: Practical Applications to Emerging Markets
7 references·1 citing·28 second hop
Trading Risk Management: Practical Applications to Emerging Markets (2005)Trading Risk Management: Practical Applic…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentDerivatives : The Tools That Changed Finance (2001)Derivatives : The Tools That …Failures in risk management (2000)Failures in risk managementThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Foreign‐exchange trading risk management with value at risk (2006)Foreign‐exchange trading risk…The Behavior of Stock-Market Prices (1965)Is the correlation in international equity returns constant: 1960–1990? (1995)Crecimiento, inestabilidad y crisis de la convertibilidad en Argentina (2002)Dilemas monetarios en la Argentina (2002)The Econometrics of Financial Markets (2012)Risk management standards and the active management of malicious intent in artificial superintelligence (2019)Value at risk: the new benchmark for controlling market risk (1996)Value at Risk (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Sensitivity analysis of Values at Risk (2000)Modeling and forecasting petroleum futures volatility (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Using Implied Volatility to Measure Uncertainty About Interest Rates (2005)Prices and sensitivities of Asian options: A survey (2007)Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach (2010)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2001Derivatives : The Tools That Changed Finance68 cited
  • 2000Failures in risk management38 cited

Cited by

  • 2006Foreign‐exchange trading risk management with value at risk18 cited

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