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Optimal multivariate financial decision making
Bernard, Carole; De Gennaro Aquino, Luca; Vanduffel, Steven - In: European journal of operational research : EJOR 307 (2023) 1, pp. 468-483
Persistent link: https://www.econbiz.de/10014293036
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Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
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Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24
Persistent link: https://www.econbiz.de/10012419085