Results 61 to 70 of about 2,746,744 (357)
Jurnal Gaussian, 2021 A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk.
Umiyatun Muthohiroh +2 more
semanticscholar +1 more source
Individual contributions to portfolio risk: risk decomposition for the BET-FI index [PDF]
Computational Methods in Social Sciences, 2015 The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET-FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units.
Marius ACATRINEI
doaj
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
doaj +1 more source
The optimal portfolio in respect to Expected Shortfall: a comparative study
Managerial Economics, 2014 Value at Risk plays a crucial role in the risk management. However, this risk measure has some drawbacks. The alternative risk measure is Expected Shortfall, which is rarely used, but exhibits desirable properties.
Henryk Gurgul +2 more
doaj +1 more source
Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach
International Journal of Economics and Financial IssuesValue at Risk (VaR) estimates the maximum loss a portfolio may incur at a given confidence level over a specified time, while expected shortfall (ES) determines the probability weighted losses greater than VaR.
Max van der Lecq, G. Vuuren
semanticscholar +1 more source
Developmental Disorders in Children Recently Diagnosed With Cancer
Pediatric Blood &Cancer, EarlyView.ABSTRACT Neurocognitive deficits in adult survivors of childhood cancer are well established, but less is known about developmental disorders (DD) arising shortly after cancer diagnosis. Using 2016–2019 linked Ohio cancer registry and Medicaid data, we compared DD among 324 children with cancer and 606,913 cancer‐free controls.
Jamie Shoag +5 more
wiley +1 more source
A dynamic programming approach to constrained portfolios [PDF]
, 2011 This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption.
Kraft, Holger, Steffensen, Mogens
core +1 more source
Applied Mathematical Sciences, 2014 This paper is devoted on the case where a norm on some space of random variables is defined by a coherent risk measures. We deduce that a Banach lattice norm is defined through Expected and Adjusted Expected Shortfall on L1.
openaire +1 more source
Pediatric Blood &Cancer, EarlyView.ABSTRACT Background B‐acute lymphoblastic leukemia (B‐ALL) is the most common pediatric cancer, and while most children in high‐resource settings are cured, therapy carries risks for long‐term toxicities. Understanding parents’ concerns about these late effects is essential to guide anticipatory support and inform evolving therapeutic approaches ...
Kellee N. Parker +7 more
wiley +1 more source
Detection of treatment effects by covariate-adjusted expected shortfall
, 2011 The statistical tests that are commonly used for detecting mean or median treatment effects suffer from low power when the two distribution functions differ only in the upper (or lower) tail, as in the assessment of the Total Sharp Score (TSS) under ...
He, Xuming, Hsu, Ya-Hui, Hu, Mingxiu
core +1 more source