Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns

By Kris Boudt, Brian G. Peterson, Christophe Croux. 2008

131 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/45d7064e5e10e08f352d88a3a81e06fc70545522

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In Finance

1. L. Pham

In Management Science and Operations Research

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Citations in the corpus

• Asset Allocation with Conditional Value-at-Risk Budgets (2013, unknown): “In the empirical application, we use the modified CVaR (contribution) estimator proposed by Boudt et al (2008).”
• Is it risky to go green? A volatility analysis of the green bond market (2016, methodology): “I used the methodology specified in Khan, Van Aelst, and Zamar (2007) and Boudt, Peter- son, and Croux (2008) to clean the dataset from outliers.”