A K-Means Classification and Entropy Pooling Portfolio Strategy for Small and Large Capitalization Cryptocurrencies [PDF]
Entropy, 2023 In this study, we propose three portfolio strategies: allocation based on the normality assumption, the skewed-Student t distribution, and the entropy pooling (EP) method for 14 small- and large-capitalization (cap) cryptocurrencies.
Jules Clement Mba +1 more
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VIX constant maturity futures trading strategy: A walk-forward machine learning study. [PDF]
PLoS ONEThis study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information derived from VIX CMFs.
Sangyuan Wang +4 more
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A comparison of market risk measures from a twofold perspective: accurate and loss function [PDF]
ACRN Journal of Finance and Risk Perspectives, 2023 Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR ...
Sonia Benito Muela +2 more
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Backtestability and the ridge backtest
Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Acerbi, Carlo, Székely, Balázs
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Value at looking back: Towards an empirical validation of the role of reflexivity in econo-historic backtesting: Economic market prediction corrections correlate with future market performance [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 The following article innovatively paints a novel picture of the mass psychological underpinnings of business cycles based on information flows in order to recommend how certain communication strategies could counterweight and alleviate information ...
Julia M. Puaschunder
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COMPARISON BETWEEN VALUE AT RISK AND ADJUSTED EXPECTED SHORTFALL: A NUMERICAL ANALYSIS
Barekeng, 2023 Loss risk is one of the variable that always appears in every kind of investment. On stock asset investments, the characteristics of the risk of loss is uncertain, this means that losses can occur at any time with a value that cannot be determined ...
Trimono Trimono, Di Asih Maruddani
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Dynamic modelling of extreme daily precipitation in Germany from 1951 to 2020
Meteorologische Zeitschrift, 2022 It is important to analyse long-term changes in heavy precipitation but current risk management requires more dynamic and reliable forecasting of changes in the right tail of precipitation distributions in shorter periods of time.
Joanna Czarnowska, Bogdan Bochenek
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Development of a Backtesting Web Application for the Definition of Investment Strategies
Knowledge, 2023 Backtesting represents a set of techniques that aim to evaluate trading strategies on historical data in order to verify their effectiveness before applying them to a market in real time.
Antonio Sarasa-Cabezuelo
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Mathematics, 2020 The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC
Inés Jiménez +3 more
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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