Lars Rickenberg

University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance

Schloss

Mannheim, 68131

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

262

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Risk-Managed Momentum Strategies

Number of pages: 159 Posted: 14 Sep 2019
Lars Rickenberg
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 175 (176,843)
Citation 1

Abstract:

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Momentum Crashes, Time-Varying Risk, Risk targeting, Downside Risk, Dynamic trading strategies

2.

Tail Risk Targeting: Target VaR and CVaR Strategies

Number of pages: 108 Posted: 05 Sep 2019 Last Revised: 25 Sep 2019
Lars Rickenberg
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 87 (298,769)
Citation 1

Abstract:

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Volatility, Value at Risk, Conditional Value at Risk, Risk Targeting, Extreme Value Theory, Dynamic Trading Strategies