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ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Rachev, Svetlozar T ; Mittnik, Stefan ; Lindquist, Brent W ; Lauria, Davide.
In: Papers.
RePEc:arx:papers:2206.02854.

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  1. Exploring Dynamic Asset Pricing within Bachelier’s Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar T ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare.
    In: JRFM.
    RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:352-:d:1203273.

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  2. Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare.
    In: Papers.
    RePEc:arx:papers:2307.04059.

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  3. Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan.
    In: Papers.
    RePEc:arx:papers:2303.17014.

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    RePEc:fip:fedgfe:2008-21.

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  45. Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures. (2007). le Van, Cuong ; Dana, Rose-Anne .
    In: Post-Print.
    RePEc:hal:journl:halshs-00188761.

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  46. Risk and economic sustainability of crop farming systems. (2007). Hardaker, Brian J. ; Flaten, Ola ; Lien, Gudbrand.
    In: Agricultural Systems.
    RePEc:eee:agisys:v:94:y:2007:i:2:p:541-552.

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  47. Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk. (2007). Bion-Nadal, Jocelyne .
    In: Papers.
    RePEc:arx:papers:math/0703074.

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  48. Creazione di valore per gli shareholders e gli stakeholders: una fondazione analitica dei principali indicatori di valore. (2006). Mazzoni, Giancarlo ; Masera, Rainer S..
    In: Moneta e Credito.
    RePEc:psl:moneta:2006:41.

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  49. Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence. (2006). Drew, Michael ; Basu, Anup.
    In: MPRA Paper.
    RePEc:pra:mprapa:3314.

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  50. Risk measures for derivatives with Markov-modulated pure jump processes. (2006). Siu, Tak Kuen.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:13:y:2006:i:2:p:129-149.

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  51. A tale of tails: an empirical analysis of loss distribution models for estimating operational risk capital. (2006). Perry, Jason ; Dutta, Kabir.
    In: Working Papers.
    RePEc:fip:fedbwp:06-13.

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  52. Multivariate risks and depth-trimmed regions. (2006). Cascos, Ignacio ; Molchanov, Ilya.
    In: Papers.
    RePEc:arx:papers:math/0606520.

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  53. Bank Trading Risk and Systemic Risk. (2005). Jorion, Philippe.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11037.

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  54. Diversification and Performance in Banking: The Israeli Case. (2005). Landskroner, Yoram ; Zaken, David ; Ruthenberg, David.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:27:y:2005:i:1:p:27-49.

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  55. The Present, Future and Imperfect of Financial Risk Management. (2004). Alexandra, Carol.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2003-12.

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  56. On Bayesian Value at Risk: From Linear to Non-Linear Portfolios. (2004). Tong, Howell ; Siu, Tak Kuen.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:11:y:2004:i:2:p:161-184.

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  57. Computational Tools for the Analysis of Market Risk. (2003). .
    In: Computational Economics.
    RePEc:kap:compec:v:21:y:2003:i:1:p:153-172.

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  58. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions. (2003). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:physics/0301009.

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  59. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets. (2002). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0207475.

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  60. Portfolio Optimization with Spectral Measures of Risk. (2002). Acerbi, Carlo ; Carlo, Acerbi ; Prospero, Simonetti .
    In: Papers.
    RePEc:arx:papers:cond-mat/0203607.

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  61. On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0104295.

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  62. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem. (2001). Acerbi, Carlo.
    In: Papers.
    RePEc:arx:papers:cond-mat/0107190.

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  63. Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0105191.

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  64. The Basis Risk of Catastrophic-Loss Index Securities. (2000). Phillips, Richard ; Cummins, John ; Lalonde, David.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-22.

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