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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Portfolio selection"
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Portfolio selection
Risikomaß
52
Risk measure
52
Theorie
37
Theory
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Risiko
21
Risk
21
Portfolio-Management
18
Risikomanagement
16
Risk management
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expected shortfall
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Mao, Tiantian
2
Vanduffel, Steven
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1
Bernard, Carole
1
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1
Cai, Jun
1
Chi, Yichun
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Coculescu, Delia
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Colaneri, Katia
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1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Scandinavian actuarial journal
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Journal of risk
55
Risks : open access journal
45
Finance research letters
39
Quantitative finance
34
Economic modelling
30
International review of financial analysis
28
Journal of risk and financial management : JRFM
27
The North American journal of economics and finance : a journal of financial economics studies
27
Discussion paper / Tinbergen Institute
24
International journal of theoretical and applied finance
22
Applied economics
20
Journal of economic dynamics & control
20
The European journal of finance
19
Computational economics
18
Finance and stochastics
18
Journal of empirical finance
18
The journal of risk model validation
18
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
Operations research
16
International review of economics & finance : IREF
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
Econometric Institute research papers
13
International journal of forecasting
13
Journal of econometrics
13
Journal of international financial markets, institutions & money
13
The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
11
Journal of forecasting
11
Journal of risk management in financial institutions
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mathematics and financial economics
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Operations research letters
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Working papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
2
Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia
;
Eisenberg, Julia
;
Salterini, Benedetta
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
Saved in:
3
Group cohesion under individual regulatory constraints
Coculescu, Delia
;
Delbaen, Freddy
- In:
Scandinavian actuarial journal
2022
(
2022
)
1
,
pp. 80-93
Persistent link: https://www.econbiz.de/10012872649
Saved in:
4
An insurer's optimal strategy towards a new independent business
Chi, Yichun
;
Huang, Yuxia
;
Tan, Ken Seng
- In:
Scandinavian actuarial journal
2024
(
2024
)
1
,
pp. 89-107
Persistent link: https://www.econbiz.de/10014519973
Saved in:
5
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
6
Portfolio optimization with wealth-dependent risk constraints
Escobar, Marcos
;
Wahl, Markus
;
Zagst, Rudi
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 244-268
Persistent link: https://www.econbiz.de/10013370501
Saved in:
7
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
8
Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria
;
Navarro, Jorge
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
Saved in:
9
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:
10
Optimal asset allocation for participating contracts under the VaR and PI constraint
Dong, Yinghui
;
Wu, Sang
;
Lv, Wenxin
;
Wang, Guojing
- In:
Scandinavian actuarial journal
2020
(
2020
)
2
,
pp. 84-109
Persistent link: https://www.econbiz.de/10012195023
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