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~person:"Rüschendorf, Ludger"
~subject:"Portfolio selection"
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Rüschendorf, Ludger
Fabozzi, Frank J.
48
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ECONIS (ZBW)
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1
Portfolio optimization for heavy-tailed assets : Extreme
Risk
Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
2
Reducing model
risk
via positive and negative dependence assumptions
Bignozzi, Valeria
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
Saved in:
3
Reduction of Value-at-
Risk
bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
4
Risk
bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
5
Analysis of
risk
bounds in partially specified additive factor models
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 115-121
Persistent link: https://www.econbiz.de/10012058839
Saved in:
6
Upper bounds for strictly concave distortion
risk
measures on moment spaces
Cornilly, D.
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
Saved in:
7
On convex
risk
measures on Lp-spaces
Kaina, M.
;
Rüschendorf, Ludger
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 475-495
Persistent link: https://www.econbiz.de/10003858273
Saved in:
8
Risk
measures for portfolio vectors and allocation of risks
Rüschendorf, Ludger
- In:
Risk assessment : decisions in banking and finance
,
(pp. 153-164)
.
2008
Persistent link: https://www.econbiz.de/10003781638
Saved in:
9
Value-at-
risk
bounds with variance constraints
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
)
3
,
pp. 923-959
Persistent link: https://www.econbiz.de/10011749149
Saved in:
10
How Robust Is the Value-at-
Risk
of Credit
Risk
Portfolios?
Bernard, Carole
-
2017
In this paper, we assess the magnitude of model uncertainty of credit
risk
portfolio models, i.e., what is the maximum … and minimum Value-at-
Risk
(VaR) of a portfolio of risky loans that can be justi ed given a certain amount of available …
Persistent link: https://www.econbiz.de/10012972100
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