[1] Markowitz H. Portfolio election[J]. Journal of Finance, 1952,7(1):77-91.[2] Fishburn P. Mean risk analysis with risk associated with below target returns[J]. American Economic Review,1977,67(2):116-126.[3] Kuan C, Yeh J, Hsu Y. Assessing value at risk with CATE,the conditional autoregressive expectile models[J]. Journal of Econometrics, 2009,150(2):261-270.[4] Artzner P, Delbain F, Eber J M, et al. Coherent measures of risk[J]. Mathematical Finance, 1999,9(3):203-228.[5] Acerbi C, Tasche D. On the coherence of expected shortfall[J]. Journal of Banking and Finance, 2002,26(7):1487-1503.[6] Yamai Y, Yoshiba T. On the validity of Value-at-Risk:Comparative analyses with expected shortfall[J].Monetary and Economic Studies, 2002,20(1):57-85.[7] Koenker R, Bassett G S. Regression quantiles[J]. Econometrica,1978,46(1):33-50.[8] Aigner D J, Amemiya T, Poirier D J. On the estimation of production frontiers:Maximum likelihood estimation of the parameters of a discontinuous density function[J]. International Economic Review, 1976,17(2):377-396.[9] Newey W K, Powell J L. Asymmetric least squares estimation and testing[J].Econometrica, 1987,55(4):819-847.[10] Lam K, Sin C Y, Leung R. A theoretical framework to evaluate different marginsetting methodologies[J]. Journal of Futures Markets,2004,24(2):117-145.[11] Yao Q, Tong H. Asymmetric least squares regression estimation:A nonparametric approach[J]. Nonparametric Statistics, 1996,6(2):273-292.[12] Efron B. Regression percentiles using asymmetric squared error loss[J]. Statistica Sinica, 1991,1(1):93-125.[13] Huang C F, Litzenberger R H. Foundations for financial economics[M]. New Jersey:Prentice Hall, 1988.[14] Hamao Y, Musulis R, Ng V. Correlations in price changes and volatility across international stockmarkets[J]. The Review of Financial Studies,1990,3(3):281-307.[15] Manganelli S. Asset allocation by penalized least squares[R]. Working Paper, European Central Bank, 2007.[16] Dowd K. Beyond value at risk:The new science of risk management[M]. New York:Wiley, 1999.[17] Duffie D, Pan Jun. An overview of value at risk[J]. Journal of Derivatives, 1997,4(3):7-49.[18] Basak S, Shapiro A. Value-at-Risk based risk management:Optimal policies and asset prices[J]. The Review of Financial Studies, 2001,14(2):371-405.[19] Uryasev S, Rockafellar R T. Optimization of conditional Value-at-Risk[J].Journal of Risk,1999,29(1):1071-1074.[20] Bertsimas D, Lauprete G, Samarov A. Shortfall as a risk measure:Propertyes,optimization and applications[J]. Journal of Economic Dynamics & Control, 2004,28(7):1353-1381.[21] Bassett G W, Koenker R, Kordas G. Pessimistic portfolio allocation and Choquet expected utility[J]. Journal of Financial Econometrics, 2004,2(4):477-491.[22] Levy H. Stochastic dominance and expected utility:Survey and analysis[J].Management Science,1992,38(4):555-593.[23] Delbaen F. Coherent risk measures on general probability spaces[M].Berlin Heidelberg:Springer,2002.[24] Engle R F, Manganelli S. CAViaR:Conditional autoregressive Value-at-Riskby regression quantiles[J].Journal of Business & Economic Statistics, 2004,22(4):367-381.[25] Taylor J W. Estimating Value-at-Risk and expected shortfall using expectiles[J]. Journal of Financial Econometrics, 2008,6(2):231-252.[26] Kuester K, Mittnik S, Paolella M S. Value-at-Risk prediction:A comparison of alternative strategies[J]. Journal of Financial Econometrics, 2006,4(1):53-89.[27] 苏幸, 周勇. 条件自回归expectile模型及其在基金业绩评价中的应用[J].中国管理科学,2013,21(6):22-19.[28] 谢尚宇, 姚宏伟, 周勇. 基于ARCH-Exp-ectile方法的VaR和ES尾部风险测量[J].中国管理科学, 2014,22(9):1-9.[29] 简志宏, 曾裕峰, 刘曦腾. 基于CAViaR模型的沪深300指数期货隔夜风险研究[J]. 中国管理科学, 2016,24(9):1-10.[30] Litterman R. Hot spotsTM and hedges[J].Journal of Portfolio Management,1996,Special Issue:52-75. |