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subject:"Portfolio selection"
isPartOf:"Journal of financial and quantitative analysis : JFQA"
~subject:"Zinsstruktur"
~isPartOf:"Insurance / Mathematics & economics"
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Portfolio selection
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281
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276
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179
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Journal of financial and quantitative analysis : JFQA
Insurance / Mathematics & economics
NBER working paper series
334
Journal of banking & finance
308
Working paper / National Bureau of Economic Research, Inc.
283
European journal of operational research : EJOR
279
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268
Mathematical finance : an international journal of mathematics, statistics and financial theory
212
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197
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191
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189
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167
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138
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ECONIS (ZBW)
364
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1
Monetary policy and bond prices with drifting equilibrium rates
Favero, Carlo A.
;
Melone, Alessandro
;
Tamoni, Andrea
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
2
,
pp. 626-651
Persistent link: https://www.econbiz.de/10014520118
Saved in:
2
Optimal investment, consumption and life insurance purchase with learning about return predictability
Peng, Xingchun
;
Li, Baihui
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 70-95
Persistent link: https://www.econbiz.de/10014466205
Saved in:
3
Intergenerational sharing of unhedgeable inflation risk
Chen, Damiaan H. J.
;
Beetsma, Roel
;
Wijnbergen, Sweder van
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 140-160
Persistent link: https://www.econbiz.de/10014466209
Saved in:
4
Diversification quotients based on VaR and ES
Han, Xia
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 185-197
Persistent link: https://www.econbiz.de/10014466211
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5
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning
;
Zhang, Yumo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
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6
Optimal risk management with reinsurance and its counterparty risk hedging
Chi, Yichun
;
Hu, Tao
;
Huang, Yuxia
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 274-292
Persistent link: https://www.econbiz.de/10014466216
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7
Two-phase selection of representative contracts for valuation of large variable annuity portfolios
Jiang, Ruihong
;
Saunders, David M.
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 293-309
Persistent link: https://www.econbiz.de/10014466217
Saved in:
8
The Cramér-Lundberg model with a fluctuating number of clients
Braunsteins, Peter
;
Mandjes, Michel
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014446650
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9
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Denuit, Michel
;
Robert, Christian Yann
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 23-32
Persistent link: https://www.econbiz.de/10014446652
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10
Optimal retirement savings over the life cycle : a deterministic analysis in closed form
Fischer, Marcel
;
Jensen, Bjarne Astrup
;
Koch, Marlene
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 48-58
Persistent link: https://www.econbiz.de/10014446721
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11
Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
Liang, Xiaoqing
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 80-96
Persistent link: https://www.econbiz.de/10014446728
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12
A note on portfolios of averages of lognormal variables
Boyle, Phelim P.
;
Jiang, Ruihong
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 97-109
Persistent link: https://www.econbiz.de/10014446731
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13
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
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14
Pricing time-to-event contingent cash flows : a discrete-time survival analysis approach
Lautier, Jackson P.
;
Pozdnyakov, Vladimir
;
Yan, Jun
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 53-71
Persistent link: https://www.econbiz.de/10014282475
Saved in:
15
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
Mi, Hui
;
Xu, Zuo Quan
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 82-105
Persistent link: https://www.econbiz.de/10014282477
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16
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
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17
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
Saved in:
18
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás
;
Nedényi, Fanni K.
;
Sütő, László
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
Saved in:
19
Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao
;
Zou, Zhenfeng
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
Saved in:
20
A new stochastic dominance criterion for dependent random variables with applications
Belzunce, Félix
;
Martinez-Riquelme, Carolina
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 165-176
Persistent link: https://www.econbiz.de/10013534518
Saved in:
21
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
Saved in:
22
Portfolio risk analysis of excess of loss reinsurance
Tang, Qihe
;
Tong, Zhiwei
;
Xun, Li
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 91-110
Persistent link: https://www.econbiz.de/10013271962
Saved in:
23
Systemic risk : conditional distortion risk measures
Dhaene, Jan
;
Laeven, Roger J. A.
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
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24
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
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25
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
He, Lin
;
Liang, Zongxia
;
Song, Yilun
;
Qi, Ye
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 188-202
Persistent link: https://www.econbiz.de/10013271971
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26
On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.
;
Mandjes, Michel
;
Spreij, P. J. C.
; …
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
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27
Decrease of capital guarantees in life insurance products : can reinsurance stop it?
Escobar, Marcos
;
Havrylenko, Yevhen
;
Kschonnek, Michel
; …
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 14-40
Persistent link: https://www.econbiz.de/10013348899
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28
Similar risks have similar prices : a useful and exact quantification
Mildenhall, Stephen J.
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 203-210
Persistent link: https://www.econbiz.de/10013349010
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29
Avoiding zero probability events when computing value at risk contributions
Koike, Takaaki
;
Saporito, Yuri
;
Targino, Rodrigo
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 173-192
Persistent link: https://www.econbiz.de/10013380509
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30
Combining multi-asset and intrinsic risk measures
Laudagé, Christian
;
Sass, Jörn
;
Wenzel, Jörg
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 254-269
Persistent link: https://www.econbiz.de/10013380532
Saved in:
31
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:
32
Asymptotic analysis of portfolio diversification
Cui, Hengxin
;
Tan, Ken Seng
;
Yang, Fan
;
Chen Zhou
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 302-325
Persistent link: https://www.econbiz.de/10013380569
Saved in:
33
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Cheung, Eric C. K.
;
Peralta, Oscar
;
Woo, Jae-Kyung
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 364-389
Persistent link: https://www.econbiz.de/10013380617
Saved in:
34
Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario
;
Jiang, Wenjun
;
Ren, Jiandong
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
Saved in:
35
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
36
Economic neutral position : how to best replicate not fully replicable liabilities?
Kunz, Andreas
;
Popp, Markus
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 53-67
Persistent link: https://www.econbiz.de/10012482749
Saved in:
37
Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward
;
Kye, Yisub
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
Saved in:
38
A random forest based approach for predicting spreads in the primary catastrophe bond market
Makariou, Despoina
;
Barrieu, Pauline
;
Chen, Yining
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 140-162
Persistent link: https://www.econbiz.de/10012793915
Saved in:
39
Haezendonck-Goovaerts capital allocation rules
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 173-185
Persistent link: https://www.econbiz.de/10012793922
Saved in:
40
Optimal reinsurance under the α-maxmin mean-variance criterion
Zhang, Liming
;
Li, Bin
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 225-239
Persistent link: https://www.econbiz.de/10012793925
Saved in:
41
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
Saved in:
42
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
Liu, Guo
;
Zhuo, Jin
;
Li, Shuanming
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 508-524
Persistent link: https://www.econbiz.de/10012793950
Saved in:
43
The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
Eini, Esmat Jamshidi
;
Khaloozadeh, Hamid
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 44-50
Persistent link: https://www.econbiz.de/10012545260
Saved in:
44
Batch mode active learning framework and its application on valuing large variable annuity portfolios
Gweon, Hyukjun
;
Li, Shu
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 105-115
Persistent link: https://www.econbiz.de/10012649211
Saved in:
45
Revisiting optimal investment strategies of value-maximizing insurance firms
Koch Medina, Pablo
;
Moreno-Bromberg, Santiago
; …
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 131-151
Persistent link: https://www.econbiz.de/10012649214
Saved in:
46
Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan
;
Tan, Ken Seng
;
Yang, Fan
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
Saved in:
47
A decomposition of general premium principles into risk and deviation
Nendel, Max
;
Riedel, Frank
;
Schmeck, Maren Diane
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 193-209
Persistent link: https://www.econbiz.de/10012622389
Saved in:
48
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
Cai, Jun
;
Wang, Ying
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 329-349
Persistent link: https://www.econbiz.de/10012622397
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49
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
Wang, Pei
;
Shen, Yang
;
Zhang, Ling
;
Kang, Yuxin
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 384-407
Persistent link: https://www.econbiz.de/10012622401
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50
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 408-428
Persistent link: https://www.econbiz.de/10012622402
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