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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
Credit Risk Modelling Under Recessionary and Financial Distressed Conditions
(2016)
This paper provides clear cut evidence that recessionary and financial distressed conditions, as well as banning foreclosure laws, often introduced by governments to mitigate the effects of the economic and/or financial ...
Insurance asset pricing is different
(2016)
Die vorliegende Dissertation besteht aus vier Teilen, die sich mit den Themen Alternative Investments, Katastrophenrisiko und Asset Pricing im Versicherungskontext auseinandersetzen. Mithilfe verschiedener Finanzinstrumente ...