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ISSN
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Analyzing of the ENSO Index Using Extreme Value Theory
(Articles)
Fumio Maruyama
Journal of Geoscience and Environment Protection
Vol.11 No.6
,June 28, 2023
DOI:
10.4236/gep.2023.116007
79
Downloads
333
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
5,063
Downloads
7,009
Views
Citations
General Markowitz Optimization Problems
(Articles)
George Stoica
Applied Mathematics
Vol.3 No.12A
,December 31, 2012
DOI:
10.4236/am.2012.312A281
6,718
Downloads
9,976
Views
Citations
This article belongs to the Special Issue on
Probability and Its Applications
An Application of Bayesian Inference on the Modeling and Estimation of Operational Risk Using Banking Loss Data
(Articles)
Kashfia N. Rahman
,
Dennis A. Black
,
Gary C. McDonald
Applied Mathematics
Vol.5 No.6
,April 2, 2014
DOI:
10.4236/am.2014.56082
4,966
Downloads
7,710
Views
Citations
On Historical Value at Risk under Distribution Uncertainty
(Articles)
Atsushi Iizuka
,
Yumiharu Nakano
Journal of Mathematical Finance
Vol.5 No.2
,April 10, 2015
DOI:
10.4236/jmf.2015.52010
3,823
Downloads
4,559
Views
Citations
Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks
(Articles)
Dehong Wang
,
Jianbo Song
,
Yongzhao Lin
Journal of Financial Risk Management
Vol.6 No.1
,March 15, 2017
DOI:
10.4236/jfrm.2017.61006
1,827
Downloads
4,281
Views
Citations
Valuation and Risk Assessment of a Portfolio of Variable Annuities: A Vector Autoregression Approach
(Articles)
Albina Orlando
,
Gary Parker
Journal of Mathematical Finance
Vol.8 No.2
,May 9, 2018
DOI:
10.4236/jmf.2018.82023
781
Downloads
1,909
Views
Citations
Value at Risk Models in Indian Markets: A Predictive Ability Evaluation Study
(Articles)
Kushagra Goel
,
Sunny Oswal
Theoretical Economics Letters
Vol.9 No.8
,December 9, 2019
DOI:
10.4236/tel.2019.98177
599
Downloads
2,282
Views
Citations
I Was Learning Economics at the Cost of the Economy
(Articles)
Majumder Debasish
Theoretical Economics Letters
Vol.11 No.3
,June 29, 2021
DOI:
10.4236/tel.2021.113041
253
Downloads
803
Views
Citations
Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
(Articles)
Martin M. Kithinji
,
Peter N. Mwita
,
Ananda O. Kube
Journal of Mathematical Finance
Vol.11 No.3
,July 14, 2021
DOI:
10.4236/jmf.2021.113021
179
Downloads
763
Views
Citations
Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities
(Articles)
Wendkouni Yaméogo
,
Korotimi Ouédraogo
,
Diakarya Barro
Open Journal of Statistics
Vol.12 No.6
,December 30, 2022
DOI:
10.4236/ojs.2022.126047
98
Downloads
455
Views
Citations
Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand
(Articles)
Caston Sigauke
,
Andréhette Verster
,
Delson Chikobvu
Open Journal of Statistics
Vol.2 No.4
,October 31, 2012
DOI:
10.4236/ojs.2012.24054
2,914
Downloads
4,971
Views
Citations
Application of the Queuing Theory in Characterizing and Optimizing the Passenger Flow at the Airport Security
(Articles)
Mengjiao Wang
Journal of Applied Mathematics and Physics
Vol.5 No.9
,September 15, 2017
DOI:
10.4236/jamp.2017.59134
1,948
Downloads
4,573
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
930
Downloads
1,850
Views
Citations
Optimal Threshold Determination for the Maximum Product of Spacing Methodology with Ties for Extreme Events
(Articles)
Peter Murage
,
Joseph Mung’atu
,
Everlyne Odero
Open Journal of Modelling and Simulation
Vol.7 No.3
,June 4, 2019
DOI:
10.4236/ojmsi.2019.73008
655
Downloads
1,673
Views
Citations
Analysis of the USD/JPY and EUR/JPY Exchange Rates Using Multifractal Analysis and Extreme Value Theory
(Articles)
Fumio Maruyama
Journal of Applied Mathematics and Physics
Vol.11 No.10
,October 17, 2023
DOI:
10.4236/jamp.2023.1110184
79
Downloads
352
Views
Citations
Likelihood and Quadratic Distance Methods for the Generalized Asymmetric Laplace Distribution for Financial Data
(Articles)
Andrew Luong
Open Journal of Statistics
Vol.7 No.2
,April 30, 2017
DOI:
10.4236/ojs.2017.72025
1,430
Downloads
2,821
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
4,580
Downloads
9,123
Views
Citations
Optimal Investment and Proportional Reinsurance with Risk Constraint
(Articles)
Jingzhen Liu
,
Ka Fai Cedric Yiu
,
Ryan C. Loxton
,
Kok Lay Teo
Journal of Mathematical Finance
Vol.3 No.4
,October 17, 2013
DOI:
10.4236/jmf.2013.34046
4,188
Downloads
7,584
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
1,855
Downloads
6,384
Views
Citations
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