A new measure of cross-sectional risk and its empirical implications for portfolio risk management-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

A new measure of cross-sectional risk and its empirical implications for portfolio risk management

Published:2006-08 Issue:8 Volume:30 Page:2387-2408
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Galluccio Stefano,Roncoroni Andrea

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

1. Estimating and Interpreting the Yield Curve;Anderson,1996

2. Immunization using principal components analysis;Barber;Journal of Portfolio Management,1996

3. Backtesting derivative portfolios with filtered historical simulation (FHS);Barone-Adesi;European Financial Management,2002

4. Yield curve shifts and the selection of immunization strategies;Barrett;Journal of Fixed Income,1995

5. Designing an immunized portfolio: is M-squared the key?;Bierwag;Journal of Banking and Finance,1993

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Immunization With Consistent Term Structure Dynamics;SSRN Electronic Journal;2022

2. New tool for stock investment risk management;Industrial Management & Data Systems;2019-11-01

3. A space-time random field model for electricity forward prices;Journal of Banking & Finance;2018-10

4. Black–Litterman asset allocation model based on principal component analysis (PCA) under uncertainty;Cluster Computing;2018-01-29

5. Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market;European Journal of Operational Research;2017-09

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP