Results 61 to 70 of about 690,474 (299)

Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]

, 2008
We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
core   +1 more source

Portfolio selection models: A review and new directions [PDF]

, 2009
Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalization of this approach leads to mean-risk models, in which a return distribution is characterized by the expected value of return (
Acerbi, Albrecht, Arditti, Artzner, BAWA, Bernoulli, Dentcheva, Dentcheva, Embrechts, Fama, Fishburn, Group of Thirty, Hadar, Jorion, Kaut, Konno, Konno, Kroll, Larsen, Lehmann, Leyffer, Mansini, Markowitz, Markowitz, Marshall, Morgan, Ogryczak, Ogryczak, Ortobelli, Perold, Pflug, Pratt, Quirk, Rockafellar, Rockafellar, Rockafellar, Rockafellar, Roman, Roman, Roy, Scott, Sharpe, Speranza, Tasche, Unser, von Neumann, Whitmore, Yamai, Yitzhaki   +48 more
core   +1 more source

Factors Driving Battery and Solar Purchase Decision of Residents: a Behavioural Choice Experiment Using a Hybrid Discrete Choice and Latent Variable Model

Advanced Sustainable Systems, EarlyView.
This article explores what drives households to adopt solar PV and battery systems in South East Queensland. Using hybrid discrete choice experiments, it reveals distinct adopter profiles and highlights cost, system size, and energy independence as key motivators.
Mohammad Alipour, Elnaz Irannezhad, Rodney A. Stewart, Oz Sahin   +3 more
wiley   +1 more source

Mitochondrial Calcium Uniporter Drives Chemoresistance in Pancreatic Cancer via Glutathione‐Mediated Stemness Maintenance

Advanced Science, EarlyView.
PDAC has a poor prognosis due to chemoresistance. We revealed that MCU upregulation is associated with chemoresistance and stemness in PDAC. MCU‐mediated Ca2+ influx induced ER stress, activating the PERK‐ATF4/NRF2 axis to enhance PSAT1/SLC711 expression and glutathione synthesis, reducing ROS and maintaining stemness.
Zekun Li, Chenyang Meng, Guangcong Shen, Yueying Shan, Junjin Wang, Diliyaer Abudukeremu, Rui Zhao, Bo Ni, Chao Xu, Xiaofan Guo, Jun Yu, Kaiyuan Wang, Shengyu Yang, YunZhan Li, Yongjie Xie, Tianxing Zhou, Jihui Hao, Xiuchao Wang   +17 more
wiley   +1 more source

Robust conditional variance estimation and value-at-risk

The Journal of Risk, 2001
A common approach to estimating the conditional volatility of short horizon asset returns is to use an exponentially weighted moving average (EWMA) of squared past returns. The EWMA estimator is based on the maximum likelihood estimator of the variance of the normal distribution, and is thus optimal when returns are conditionally normal. However, there
Harris, Richard D F, Guermat, Cherif
openaire   +2 more sources

PERHITUNGAN VALUE AT RISK DENGAN PENDEKATAN THRESHOLD AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY-GENERALIZED EXTREME VALUE

Media Statistika, 2019
Stock is the most popular type of financial asset investment. Before buying a stock, an investor must estimate the risks which will be received. Value at Risk (VaR) is one of the methods that can be used to measure the level of risk.
Mutik Dian Prabaning Tyas, Di Asih I Maruddani, Rita Rahmawati   +2 more
doaj   +1 more source

Multivariate Fréchet copulas and conditional value‐at‐risk [PDF]

International Journal of Mathematics and Mathematical Sciences, 2004
Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
openaire   +2 more sources

Attenuation of Influenza a Virus into Live Vaccines Through C‐End Degrons

Advanced Science, EarlyView.
Naturally occurring C‐end degrons are exploited to design proteolysis‐targeting live attenuated influenza vaccines. C‐end degron tagging of viral M1 protein promotes proteasome‐dependent degradation, resulting in robust attenuation in host cells while permitting scalable production in engineered cells.
Ping Wang, Le Li, Yunfang Chen, Le Tong, Zhen Li, Rong Yu, Quan Shen, Qikai Wang, Jihuan Hou, Qisi Zhang, Xu Si, Ning Wang, Demin Zhou, Wen‐xia Tian, Longlong Si   +14 more
wiley   +1 more source

Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia

Risks, 2018
There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities.
Robert J. Powell, Duc H. Vo, Thach N. Pham   +2 more
doaj   +1 more source

Lactylation‐Driven YTHDC1 Alleviates MASLD by Suppressing PTPN22‐Mediated Dephosphorylation of NLRP3

Advanced Science, EarlyView.
In MASLD, YTHDC1 undergoes increased lactylation and ubiquitination, reducing its expression. AARS1 mediates lactylation at lysine 565, while disrupted binding to LDHA further promotes lactylation, suppressing YTHDC1. This downregulation enhances PTPN22 mRNA stability, leading to NLRP3 dephosphorylation and activation, which exacerbates inflammation ...
Feng Zhang, Linghua Zeng, Kunkun Zou, Keying Lin, Fangting Yao, Jinglun Song, Shumeng Zhang, Hanshu Feng, Zhichao Yang, Chunlei Wang, Hongtao Diao, Xue Kong, Tengfei Pan, Joonki Kim, Tianqi Duo, Linqiang Li, Yu Bian   +16 more
wiley   +1 more source