The sovereign property of foreign reserve investment in China: A CVaR approach-Reference-Cited by-同舟云学术

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The sovereign property of foreign reserve investment in China: A CVaR approach

Published:2012-09 Issue:5 Volume:29 Page:1524-1536
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Li Jie,Huang Huaxia,Xiao Xiao

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference18 articles.

1. Expected shortfall: a natural coherent alternative to value at risk;Acerbi;Economic Notes,2002

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. Contingent reserves management: an applied framework;Caballero,2004

4. Value at risk and conditional value at risk;Cao;Financial calculation and Programming,2007

5. Hedging and value at risk: a semi-parametric approach;Cao;The Journal of Futures Markets,2010

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2. Hedging Extreme Risk of Wheat in Semiparametric CVaR Portfolios with Commodities;FINANC UVER;2024

3. Hedging gas in a multi-frequency semiparametric CVaR portfolio;Research in International Business and Finance;2024-01

4. How to reduce the extreme risk of losses in corn and soybean markets? Construction of a portfolio with European stock indices;Agricultural Economics (Zemědělská ekonomika);2023-03-30

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