Markowitz Optimization Problems; Coherent Risk Measure; Tail Value at Risk - Articles

New Approach to Density Estimation and Application to Value-at-Risk (Articles)

Kian-Guan Lim, Hao Cheng, Nelson K. L. Yap

Journal of Mathematical Finance Vol.5 No.5, November 26, 2015

DOI: 10.4236/jmf.2015.55036 4,338 Downloads 5,796 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2, May 31, 2017

DOI: 10.4236/jmf.2017.72026 2,321 Downloads 6,095 Views Citations
Forecasting Value-at-Risk (VaR) in the Major Asian Economies (Articles)

Faisal Nazir Zargar, Dilip Kumar

Theoretical Economics Letters Vol.8 No.9, June 12, 2018

DOI: 10.4236/tel.2018.89100 999 Downloads 2,704 Views Citations
This article belongs to the Special Issue on Financial Modeling
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models (Articles)

Anthony Ngunyi, Simon Mundia, Cyprian Omari

Journal of Mathematical Finance Vol.9 No.4, October 17, 2019

DOI: 10.4236/jmf.2019.94030 1,924 Downloads 5,157 Views Citations
Combining Upside and Downside Volatility in Investment Decision (Articles)

Riccardo Bramante, Silvia Facchinetti

Journal of Mathematical Finance Vol.12 No.1, February 9, 2022

DOI: 10.4236/jmf.2022.121006 381 Downloads 2,344 Views Citations
Recent Advances in the Diagnosis and Treatment of Febrile Seizures (Articles)

Ya Fu, Xu Song

Journal of Biosciences and Medicines Vol.13 No.8, August 15, 2025

DOI: 10.4236/jbm.2025.138015 129 Downloads 1,047 Views Citations
The Contributions of Language and Behavioral Synchrony in Developing Affect Regulation in High-Risk Children (Articles)

Angela Adger-Antonikowski, Leslie F. Halpern

Open Journal of Medical Psychology Vol.3 No.3, April 24, 2014

DOI: 10.4236/ojmp.2014.33028 5,691 Downloads 7,582 Views Citations
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies (Articles)

Cyprian Omari, Anthony Ngunyi

Journal of Mathematical Finance Vol.11 No.3, August 5, 2021

DOI: 10.4236/jmf.2021.113025 510 Downloads 2,441 Views Citations
Value at Risk (VaR) Historical Approach: Could It Be More Historical and Representative of the Real Financial Risk Environment? (Articles)

Evangelos Vasileiou

Theoretical Economics Letters Vol.7 No.4, June 19, 2017

DOI: 10.4236/tel.2017.74065 2,513 Downloads 9,533 Views Citations
A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR (Articles)

Jamal Agouram, Ghizlane Lakhnati

Journal of Financial Risk Management Vol.4 No.2, May 25, 2015

DOI: 10.4236/jfrm.2015.42007 5,386 Downloads 7,749 Views Citations
Non-Linear Phase Tomography Based on Fréchet Derivative (Articles)

Valentina Davidoiu, Bruno Sixou, Max Langer, Franoise Peyrin

Advances in Computed Tomography Vol.3 No.4, November 27, 2014

DOI: 10.4236/act.2014.34007 3,462 Downloads 4,840 Views Citations
Currency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate (Articles)

Anatoliy Swishchuk, Maksym Tertychnyi, Winsor Hoang

Journal of Mathematical Finance Vol.4 No.4, August 28, 2014

DOI: 10.4236/jmf.2014.44024 3,652 Downloads 5,383 Views Citations
Bootstrapping the Expected Shortfall (Articles)

Shuxia Sun, Fuxia Cheng

Theoretical Economics Letters Vol.8 No.4, March 7, 2018

DOI: 10.4236/tel.2018.84046 1,110 Downloads 2,720 Views Citations
This article belongs to the Special Issue on Economic Growth
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures (Articles)

Yuxia Huang, Chuancun Yin

Journal of Mathematical Finance Vol.9 No.1, January 17, 2019

DOI: 10.4236/jmf.2019.91002 1,225 Downloads 2,512 Views Citations
Pareto-Optimal Reinsurance Based on TVaR Premium Principle and Vajda Condition (Articles)

Fengzhu Chang, Ying Fang

Open Journal of Applied Sciences Vol.13 No.10, October 18, 2023

DOI: 10.4236/ojapps.2023.1310131 208 Downloads 867 Views Citations
The Quantification of Model Risk According to the Principle of Relative Entropy with Case Studies (Articles)

Michael Jacobs Jr.

Journal of Financial Risk Management Vol.14 No.2, April 15, 2025

DOI: 10.4236/jfrm.2025.142007 182 Downloads 1,269 Views Citations
Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes (Articles)

Masayuki Kageyama, Takayuki Fujii, Koji Kanefuji, Hiroe Tsubaki

American Journal of Computational Mathematics Vol.1 No.3, September 19, 2011

DOI: 10.4236/ajcm.2011.13021 5,068 Downloads 9,984 Views Citations
Too Risk-Averse for Prospect Theory? (Articles)

Marc Oliver Rieger, Thuy Bui

Modern Economy Vol.2 No.4, September 21, 2011

DOI: 10.4236/me.2011.24077 7,454 Downloads 12,828 Views Citations
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models (Articles)

Alessandro Ramponi

Journal of Mathematical Finance Vol.3 No.1, February 28, 2013

DOI: 10.4236/jmf.2013.31009 5,917 Downloads 10,502 Views Citations
Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level (Articles)

Takashi Kato

Journal of Mathematical Finance Vol.8 No.1, February 28, 2018

DOI: 10.4236/jmf.2018.81015 1,128 Downloads 2,415 Views Citations

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