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subject:"Portfolio selection"
type:"article"
~person:"Ghorbel, Ahmed"
~person:"Wang, Ruodu"
~subject:"dependence structure"
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Portfolio selection
dependence structure
Risikomanagement
22
Risk management
22
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Risk measure
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17
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17
Portfolio-Management
16
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Ghorbel, Ahmed
Wang, Ruodu
Fabozzi, Frank J.
18
Hammoudeh, Shawkat
12
Janabi, Mazin A. M. al
9
Martellini, Lionel
9
Mao, Tiantian
8
Alexander, Gordon J.
7
Bhansali, Vineer
7
Guillén, Montserrat
7
Righi, Marcelo Brutti
7
Tan, Ken Seng
7
Yang, Fan
7
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6
Härdle, Wolfgang
6
Kakushadze, Zura
6
Zhu, Shushang
6
Chen, An
5
Chen, Zhiping
5
Godin, Frédéric
5
Jacobs, Michael <Jr.>
5
Li, Duan
5
Mensi, Walid
5
Mitra, Sovan
5
Regis, Luca
5
Rüschendorf, Ludger
5
Satchell, Stephen
5
Amenc, Noël
4
Bernard, Carole
4
Boonen, Tim J.
4
Brandtner, Mario
4
Cossette, Hélène
4
Diebold, Francis X.
4
Kang, Sang Hoon
4
Karagozoglu, Ahmet K.
4
Kritzman, Mark
4
Lin, Yijia
4
Luciano, Elisa
4
Marceau, Etienne
4
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Insurance / Mathematics & economics
4
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2
Operations research
2
American journal of finance and accounting
1
Economic modelling
1
International Journal of Financial Markets and Derivatives : IJFMD
1
International Journal of Managerial and Financial Accounting
1
International journal of managerial and financial accounting
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Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
17
RePEc
1
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1
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
2
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
3
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
4
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
5
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:
6
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:
7
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
8
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
9
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:
10
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
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