Financial prediction with constrained tail risk
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- Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- Peter F. Christoffersen & Francis X. Diebold, 1994.
"Optimal Prediction Under Asymmetric Loss,"
NBER Technical Working Papers
0167, National Bureau of Economic Research, Inc.
- Peter F. Christoffersen & Francis X. Diebold, . "Optimal Prediction Under Asymmetric Loss," CARESS Working Papres 97-20, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- Christoffersen & Diebold, . "Optimal Prediction Under Asymmetric Loss," Home Pages 167, 1996., University of Pennsylvania.
- Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia.
- Acerbi, Carlo & Tasche, Dirk, 2002.
"On the coherence of expected shortfall,"
Journal of Banking & Finance,
Elsevier, vol. 26(7), pages 1487-1503, July.
- Trindade, A. Alexandre & Zhu, Yun, 2007. "Approximating the distributions of estimators of financial risk under an asymmetric Laplace law," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3433-3447, April.
- repec:cup:cbooks:9780521608275 is not listed on IDEAS
- R. Rockafellar & Stan Uryasev & Michael Zabarankin, 2006. "Generalized deviations in risk analysis," Finance and Stochastics, Springer, vol. 10(1), pages 51-74, 01.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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