Titlebook: Applied Quantitative Finance; Wolfgang Karl H?rdle,Cathy Yi-Hsuan Chen,Ludger Ov Textbook 2017Latest edition Springer-Verlag GmbH Germany

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Eelgrass Wax and Wane: A Case Study assets and the degrees of risk aversion on the performance of the optimal portfolio. An empirical study is conducted by using the stock prices included in the FTSE TWSE Taiwan 100 Index. Numerical results indicate that the optimal portfolios have different reactions to different economic situations.

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Land Use: Agriculture and Use of Woodfirst principal component and the total expert score. An attempt to match the securities’ expert score by linear projection of their individual factor scores yields a best case correlation between expert score and projection of 0.9952. However, the sum of squared differences is, at 46.5552, still notable.

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What is Environmental Hydraulics?,aightforwardly be used to model the commonly observed time-variation in the betas. The discussion of these new measures and methods is accompanied by an empirical illustration using high-frequency data of the IBM incorporation and of the DJIA index.

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VaR in High Dimensional Systems-A Conditional Correlation Approachy and flexibility. Here, we employ alternatively the CCC and the DCC modeling framework to evaluate the Value-at-Risk associated with portfolios comprising major U.S. stocks. In addition, we compare their performances with corresponding results obtained from modeling portfolio returns directly via univariate volatility models.

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Portfolio Selection with Spectral Risk Measures assets and the degrees of risk aversion on the performance of the optimal portfolio. An empirical study is conducted by using the stock prices included in the FTSE TWSE Taiwan 100 Index. Numerical results indicate that the optimal portfolios have different reactions to different economic situations.

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Stress Testing in Credit Portfolio Modelsment banking portfolio. Although our stress testing approach is developed in a particular credit portfolio model, the main concept - stressing risk factors through a truncation of their distributions - is independent of the model specification and can be applied to other risk types as well.

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