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person:"Gouriéroux, Christian"
~person:"Brandtner, Mario"
~subject:"Measurement"
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Search: subject_exact:"Markowitz-Theorie"
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Measurement
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Gouriéroux, Christian
Brandtner, Mario
Rosazza Gianin, Emanuela
15
Wang, Ruodu
15
Diebold, Francis X.
11
Righi, Marcelo Brutti
11
Csóka, Péter
8
Fabozzi, Frank J.
8
Mao, Tiantian
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7
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Müller, Fernanda Maria
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6
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6
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6
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6
Landsman, Zinoviy
6
Tarashev, Nikola A.
6
Xu, Huifu
6
Christoffersen, Peter F.
5
Kürsten, Wolfgang
5
Liu, Jinjing
5
Munari, Cosimo-Andrea
5
Wilkens, Sascha
5
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4
Andersen, Torben G.
4
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4
Guillén, Montserrat
4
Herings, Peter Jean-Jacques
4
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4
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4
Laeven, Roger J. A.
4
Liu, Haiyan
4
Overbeck, Ludger
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Platen, Eckhard
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European journal of operational research : EJOR
2
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Modern finance and risk management : Festschrift in honour of Hermann Locarek-Junge
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ECONIS (ZBW)
9
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1
Tail nonlinearly transformed risk measure as a capital constraint : a better choice for bank regulation than conditional value-at-risk?
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Modern finance and risk management : Festschrift in …
,
(pp. 197-218)
.
2022
Persistent link: https://www.econbiz.de/10013336233
Saved in:
2
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:
3
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
4
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:
5
Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
264
(
2018
)
2
,
pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
Saved in:
6
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:
7
Value at risk
Gouriéroux, Christian
;
Jasiak, Joann
-
2010
Persistent link: https://www.econbiz.de/10003900686
Saved in:
8
Sensitivity analysis of distortion risk measures
Gouriéroux, Christian
;
Liu, Wei
-
2006
Persistent link: https://www.econbiz.de/10003468643
Saved in:
9
Efficient portfolio analysis using distortion risk measures
Gouriéroux, Christian
;
Liu, Wei
-
2006
Persistent link: https://www.econbiz.de/10003422288
Saved in:
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