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A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

Tail conditional moments for elliptical and log-elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 71 (2016), pp. 179-188

Persistent link: https://www.econbiz.de/10011630646

Analytic solution to the portfolio optimization problem in a mean-variance-skewness model

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: The European journal of finance 26 (2020) 2/3, pp. 165-178

Persistent link: https://www.econbiz.de/10012207192

The location of a minimum variance squared distance functional

Landsman, Zinoviy; Shushi, Tomer - In: Insurance / Mathematics & economics 105 (2022), pp. 64-78

Persistent link: https://www.econbiz.de/10013348932

Modelling random vectors of dependent risks with different elliptical components

Landsman, Zinoviy; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 6-24

Persistent link: https://www.econbiz.de/10013187281

Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

Landsman, Zinoviy; Makov, Udi - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 94-98

Risk portfolio optimization, with translation-invariant and positive-homogeneous risk measures, leads to the problem of minimizing a combination of a linear functional and a square root of a quadratic functional for the case of elliptical multivariate underlying distributions.

Persistent link: https://www.econbiz.de/10010688107

The optimal solution of ESG portfolio selection models that are based on the average ESG score

Shushi, Tomer - In: Operations research letters 50 (2022) 5, pp. 513-516

Persistent link: https://www.econbiz.de/10013449437

Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model

Alonso-García, J.; Devolder, Pierre; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 224-236

Persistent link: https://www.econbiz.de/10011597277

Risk management with Tail Quasi-Linear Means

Bäuerle, Nicole; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 170-187

Persistent link: https://www.econbiz.de/10012194089