245
Views
16
CrossRef citations to date
0
Altmetric
Research Papers

Directional entropy and tail uncertainty, with applications to financial hazard

Pages 437-446 | Received 31 May 2007, Accepted 08 Feb 2010, Published online: 13 Jul 2010

References

  • Alexander , GJ and Baptista , AM . 2004 . A comparison of VaR and CVaR constraints on portfolio selection with the mean–variance model . Mgmt Sci. , 50 : 1261 – 1273 .
  • Alexander , GJ and Baptista , AM . 2006 . Does the Basel Accord reduce bank flexibility? An assessment of the value at risk approach . J. Monet. Econ. , 53 : 1631 – 1660 .
  • Artzner , P , Delbaen , F , Eber , JM and Heath , D . 1999 . Coherent measures of risk . Math. Finance , 9 : 203 – 228 .
  • Berkowitz , J and O’Brien , J . 2002 . How accurate are value at risk models at commercial banks? J . Finance , 59 : 1093 – 1111 .
  • Bertsimas , D , Lauprete , GJ and Samarov , A . 2004 . Shortfall as a risk measure: Properties, optimization and applications . J. Econ. Dynam. Control , 28 : 1353 – 1381 .
  • Bowden , R . 2005 . Ordered mean difference benchmarking, utility generators, and capital market equilibrium . J. Business , 78 : 441 – 467 .
  • Bowden , R . 2006 . The generalized value at risk admissible set: Constraint consistency and portfolio outcomes . Quant. Finance , 6 : 159 – 171 .
  • Bowden, R.J., Information, measure shifts and distribution diagnostics. Working Paper, School of Economics and Finance, Victoria University of Wellington, 2007.
  • Chiampou , GF and Kellett , JJ . 1989 . Risk return profile of venture capital . J. Business Ventur. , 4 : 1 – 10 .
  • Duffie , D . 1992 . Dynamic Asset Pricing Theory , Princeton, NJ : Princeton University Press .
  • Glasserman , P , Heidelberger , P and Shahabuddin , P . 2002 . Portfolio value at risk with heavy-tailed risk factors . Math. Finance , 12 : 239 – 269 .
  • Harrison , M and Kreps , D . 1979 . Martingales and arbitrage in multiperiod securities markets . J. Econ. Theory , 20 : 381 – 408 .
  • Johnson , NL , Kotz , S and Balakrishnan , N . 1994 . Continuous Univariate Distributions , Vol. 1 , New York : Wiley .
  • Jorion , P . 2007 . Financial Risk Manager Handbook, , 4th , Hoboken, NJ : Wiley/GARP .
  • Kullback , S . 1968 . Information Theory and Statistics , New York : Dover .
  • Kullback , S and Leibler , RA . 1951 . On information and sufficiency . Ann. Math. Statist. , 22 : 79 – 86 .
  • McLachlan , G and Peel , D . 2000 . Finite Mixture Models , New York : Wiley .
  • Palmquist , J , Krokhmal , P and Uryasev , S . 2001 . Portfolio optimization with conditional value-at-risk objective and constraints . J. Risk , 4 : 21 – 41 .
  • Pinsker , MS . 1964 . Information and Information Stability of Random Variables and Processes , San Francisco : Holden Day .
  • Rockafellar , R and Uryasev , S . 2002 . Conditional value at risk for general loss distributions . J. Bank. Finance , 26 : 1443 – 1471 .
  • Ruhnka , JC and Young , JE . 1991 . Some hypotheses about risk in venture capital investing . J. Business Ventur. , 6 : 115 – 133 .
  • Scaillet , O . 2004 . Nonparametric estimation and sensitivity analysis of expected shortfall . Math. Finance , 14 : 115 – 129 .
  • Suàrez, S. and Menèndez, S.C., Computational tools for the analysis of market risk. In Risk Management in Finance, Proceedings of the 1st Risk Lab International Conference, edited by S.C. Menèndez, A.S. Callè and L. Seco, 2005 (Fundación B.B.V.A.: Bilbao).
  • Tokat , Y , Rachev , ST and Schwartz , ES . 2003 . The stable non-Gaussian asset allocation: A comparison with the classical Gaussian approach . J. Econ. Dynam. Control , 27 : 937 – 969 .
  • Uryasev , S . 2000 . Conditional value-at-risk: Optimizing algorithms and applications . Financial Engng News , 14 : 1 – 5 .
  • Yamai , Y and Yoshiba , T . 2002 . Comparative analyses of expected shortfall and value-at-risk (2): expected utility maximization and tail risk . Monet. Econ. Stud. , 20 : 2, 96 – 116 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.