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subject:"Portfolio selection"
type_genre:"Mehrbändiges Werk"
~person:"Brandtner, Mario"
~person:"Pérez Amaral, Teodosio"
~type_genre:"Article in journal"
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Portfolio selection
Risikomanagement
9
Risk management
9
Portfolio-Management
8
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8
Risk measure
8
Theorie
5
Theory
5
Basel Accord
4
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4
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Spectral risk measures
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Welt
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Prognoseverfahren
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Brandtner, Mario
Pérez Amaral, Teodosio
Fabozzi, Frank J.
12
Wang, Ruodu
12
Hammoudeh, Shawkat
11
Mao, Tiantian
8
Alexander, Gordon J.
7
Guillén, Montserrat
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Janabi, Mazin A. M. al
7
Tan, Ken Seng
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Martellini, Lionel
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Godin, Frédéric
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Jacobs, Michael <Jr.>
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Li, Duan
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Mensi, Walid
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Mitra, Sovan
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Regis, Luca
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Rüschendorf, Ludger
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Ghorbel, Ahmed
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Lin, Yijia
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McAleer, Michael
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The North American journal of economics and finance : a journal of financial economics studies
2
Insurance / Mathematics & economics
1
International review of economics & finance : IREF
1
Journal of banking & finance
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Journal of econometrics
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
5
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:
6
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
7
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
International review of economics & finance : IREF
27
(
2013
),
pp. 97-111
Persistent link: https://www.econbiz.de/10009740861
Saved in:
8
Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 250-265
Persistent link: https://www.econbiz.de/10010365769
Saved in:
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