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person:"Kürsten, Wolfgang"
~person:"Rudloff, Birgit"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Conditional value at risk"
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18
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18
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18
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14
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14
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14
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14
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10
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10
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Kürsten, Wolfgang
Rudloff, Birgit
Wang, Ruodu
24
Righi, Marcelo Brutti
15
Rosazza Gianin, Emanuela
14
Rüschendorf, Ludger
12
Boonen, Tim J.
11
Brandtner, Mario
11
Cheung, Ka Chun
11
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10
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10
Furman, Edward
10
Tan, Ken Seng
10
Landsman, Zinoviy
9
Mao, Tiantian
9
Daníelsson, Jón
8
Gerlach, Richard
8
Härdle, Wolfgang
8
Munari, Cosimo-Andrea
8
Müller, Fernanda Maria
8
Puccetti, Giovanni
8
Račev, Svetlozar T.
8
Vanduffel, Steven
8
Asimit, Alexandru V.
7
Bernard, Carole
7
Cai, Jun
7
Chen, Zhiping
7
Chi, Yichun
7
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7
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7
Su, Jianxi
7
Tang, Qihe
7
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6
Dhaene, Jan
6
Dowd, Kevin
6
Guillén, Montserrat
6
Herrera, Rodrigo
6
Hu, Taizhong
6
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6
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European journal of operational research : EJOR
4
Mathematics and financial economics
3
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2
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2
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1
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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
Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
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
Dual representations for systemic risk measures
Ararat, Çağın
;
Rudloff, Birgit
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
Saved in:
5
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:
6
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:
7
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:
8
A supermartingale relation for multivariate risk measures
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932
Saved in:
9
Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
European journal of operational research : EJOR
259
(
2017
)
1
,
pp. 394-399
Persistent link: https://www.econbiz.de/10011645033
Saved in:
10
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
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