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subject:"Portfolio selection"
type:"article"
~person:"Alexander, Gordon J."
~person:"Brandtner, Mario"
~person:"Ghorbel, Ahmed"
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Portfolio selection
Risk management
20
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18
Portfolio-Management
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14
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11
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11
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5
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Alexander, Gordon J.
Brandtner, Mario
Ghorbel, Ahmed
Fabozzi, Frank J.
18
Hammoudeh, Shawkat
12
Wang, Ruodu
12
Janabi, Mazin A. M. al
9
Martellini, Lionel
9
Mao, Tiantian
8
Bhansali, Vineer
7
Guillén, Montserrat
7
Righi, Marcelo Brutti
7
Tan, Ken Seng
7
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Baptista, Alexandre M.
6
Chen, An
6
Härdle, Wolfgang
6
Jacobs, Michael <Jr.>
6
Kakushadze, Zura
6
Zhu, Shushang
6
Chen, Zhiping
5
Godin, Frédéric
5
Li, Duan
5
Mensi, Walid
5
Mitra, Sovan
5
Regis, Luca
5
Rüschendorf, Ludger
5
Satchell, Stephen
5
Tiwari, Aviral Kumar
5
Amenc, Noël
4
Bernard, Carole
4
Boonen, Tim J.
4
Cossette, Hélène
4
Diebold, Francis X.
4
Kang, Sang Hoon
4
Karagozoglu, Ahmet K.
4
Kritzman, Mark
4
Lin, Yijia
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Journal of banking & finance
3
American journal of finance and accounting
1
Economic modelling
1
Insurance / Mathematics & economics
1
International Journal of Financial Markets and Derivatives : IJFMD
1
Journal of economic dynamics & control
1
Journal of financial intermediation
1
Journal of monetary economics
1
Journal of multinational financial management
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Managerial and decision economics : MDE ; the international journal of research and progress in management economics
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ECONIS (ZBW)
15
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1
Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni
;
Ghorbel, Ahmed
;
Khoufi, Walid
- In:
American journal of finance and accounting
5
(
2018
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
Saved in:
2
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
3
Connectedness between cryptocurrencies and foreign exchange markets : implication for risk management
Chemkha, Rahma
;
BenSaïda, Ahmed
;
Ghorbel, Ahmed
- In:
Journal of multinational financial management
59
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012794677
Saved in:
4
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
5
Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb
;
Ghorbel, Ahmed
;
Boujelbene, Younes
- In:
International Journal of Financial Markets and …
7
(
2019
)
2
,
pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
Saved in:
6
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
7
Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 156-167
Persistent link: https://www.econbiz.de/10010469143
Saved in:
8
Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed
;
Trabelsi, Abdelwahed
- In:
Economic modelling
38
(
2014
),
pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
Saved in:
9
Active portfolio management with benchmarking : a frontier based on alpha
Alexander, Gordon J.
;
Baptista, Alexandre M.
- In:
Journal of banking & finance
34
(
2010
)
9
,
pp. 2185-2197
Persistent link: https://www.econbiz.de/10008737950
Saved in:
10
From Markowitz to modern risk management
Alexander, Gordon J.
- In:
The European journal of finance
15
(
2009
)
5/6
,
pp. 451-461
Persistent link: https://www.econbiz.de/10003886390
Saved in:
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