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subject:"Portfolio-Management"
~accessRights:"restricted"
~person:"Cai, Jun"
~subject:"Risikomaß"
~subject:"Volatilität"
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Portfolio-Management
Risikomaß
Volatilität
Risiko
9
Risk
9
Risk measure
8
Measurement
6
Messung
6
Risikomanagement
6
Risk management
6
Theorie
6
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6
Portfolio selection
5
Decision under risk
3
Entscheidung unter Risiko
3
Bank risk
2
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Börsenkurs
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Coherent risk measure
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Statistical distribution
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Ausreißer
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Bank stocks
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Basel Accord
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CVaR
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Capital allocation
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Choquet integral
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Cai, Jun
Gupta, Rangan
43
Righi, Marcelo Brutti
17
Wang, Ruodu
16
Ma, Feng
12
Demirer, Rıza
11
Balcilar, Mehmet
9
Chiang, Thomas C.
9
Gozgor, Giray
9
Mao, Tiantian
9
Müller, Fernanda Maria
9
Pierdzioch, Christian
9
Wohar, Mark E.
9
Bouri, Elie
8
Furman, Edward
8
Hammoudeh, Shawkat
8
Rosazza Gianin, Emanuela
8
Salisu, Afees A.
8
Su, Zhi
8
Tiwari, Aviral Kumar
8
Xiong, Xiong
8
Bloom, Nicholas
7
Bollerslev, Tim
7
Brandtner, Mario
7
Denuit, Michel
7
Huang, Xiaoxia
7
Ji, Qiang
7
Pichler, Alois
7
Wong, Wing Keung
7
Yin, Libo
7
Zaremba, Adam
7
Baker, Scott
6
Bekiros, Stelios
6
Eeckhoudt, Louis R.
6
Feinstein, Zachary
6
Kelly, Bryan T.
6
Laeven, Roger J. A.
6
Liu, Haiyan
6
Long, Huaigang
6
Nguyen, Duc Khuong
6
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Insurance / Mathematics & economics
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Energy economics
1
Finance and stochastics
1
Journal of empirical finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Scandinavian actuarial journal
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ECONIS (ZBW)
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1
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:
2
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:
3
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
4
Oil stocks, risk factors, and tail behavior
Lian, Ziying
;
Cai, Jun
;
Webb, Robert I.
- In:
Energy economics
91
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012518738
Saved in:
5
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:
6
Risk measures based on behavioural economics theory
Mao, Tiantian
;
Cai, Jun
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 367-393
Persistent link: https://www.econbiz.de/10011945793
Saved in:
7
Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011969153
Saved in:
8
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
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