Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy

بواسطة Dashan HUANG, FABOZZI, Frank, FUKUSHIMA, Masao
منشور في 2007

An Optimal Design of Collateralized Mortgage Obligation with PAC-Companion Structure using Dynamic Cash Reserve

بواسطة Dashan HUANG, FABOZZI, Frank, KAI, Yoshitaka, FUKUSHIMA, Masao
منشور في 2007

Portfolio Selection with Uncertain Exit Time: A Robust CVaR Approach

بواسطة Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
منشور في 2008

CAViaR-based Forecast for Oil Price Risk

بواسطة Dashan HUANG, YU, Baimin, FABOZZI, Frank, FUKUSHIMA, Masao
منشور في 2009

Portfolio Selection under Distributional Uncertainty: A Relative Robust CVaR in Portfolio Management

بواسطة Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
منشور في 2010

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model

بواسطة Dashan HUANG, YU, Baimin, LU, Zudi, FOCARDI, Sergio, FABOZZI, Frank, FUKUSHIMA, Masao
منشور في 2010