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subject:"Portfolio-Management"
subject:"Theorie"
~person:"Cai, Jun"
~person:"Wang, Ruodu"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio-Management
Theorie
Risikomanagement
26
Risk management
26
Risikomaß
24
Risk measure
24
Risiko
23
Risk
23
Theory
22
Portfolio selection
15
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14
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14
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6
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Aufsatz in Zeitschrift
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22
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3
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English
22
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Cai, Jun
Wang, Ruodu
Broll, Udo
16
Fabozzi, Frank J.
13
Hammoudeh, Shawkat
12
Tan, Ken Seng
12
Embrechts, Paul
11
Mao, Tiantian
10
Bhansali, Vineer
9
Alexander, Gordon J.
8
Dionne, Georges
8
Baptista, Alexandre M.
7
Bartram, Söhnke M.
7
Boonen, Tim J.
7
Gatzert, Nadine
7
Godin, Frédéric
7
Guillén, Montserrat
7
Jacobs, Michael <Jr.>
7
Janabi, Mazin A. M. al
7
Martellini, Lionel
7
McAleer, Michael
7
Righi, Marcelo Brutti
7
Rüschendorf, Ludger
7
Tang, Qihe
7
Yang, Fan
7
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
Chen, Zhiping
6
Cheung, Ka Chun
6
Chi, Yichun
6
Cossette, Hélène
6
Dias, Alexandra
6
Feng, Runhuan
6
Furman, Edward
6
Hurlin, Christophe
6
Härdle, Wolfgang
6
Kakushadze, Zura
6
Mitra, Sovan
6
Puccetti, Giovanni
6
Zhu, Shushang
6
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Insurance / Mathematics & economics
8
Astin bulletin : the journal of the International Actuarial Association
2
Finance and stochastics
2
Mathematics of operations research
2
Operations research
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Journal of banking & finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
North American actuarial journal
1
Risks : open access journal
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Scandinavian actuarial journal
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ECONIS (ZBW)
22
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1
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
2
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
Saved in:
3
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:
4
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
5
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:
6
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
7
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
Saved in:
8
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
Saved in:
9
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
10
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
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