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Worst case portfolio vectors and diversification effects
Rüschendorf, Ludger - In: Finance and stochastics 16 (2012) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10009423231
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Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas; Rüschendorf, Ludger - In: Finance and stochastics 5 (2001) 4, pp. 557
Persistent link: https://www.econbiz.de/10008216787
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Comparison of Option Prices in Semimartingale Models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10008222669
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Worst case portfolio vectors and diversification effects
Rüschendorf, Ludger - In: Finance and stochastics 16 (2011) 1, pp. 155-176
Persistent link: https://www.econbiz.de/10009810443
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On optimal portfolio diversification with respect to extreme risks
Mainik, Georg; Rüschendorf, Ludger - In: Finance and stochastics 14 (2010) 4, pp. 593-624
Persistent link: https://www.econbiz.de/10008721026
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On optimal portfolio diversification with respect to extreme risks
Mainik, Georg; Rüschendorf, Ludger - In: Finance and stochastics 14 (2010) 4, pp. 593-623
Persistent link: https://www.econbiz.de/10008823689
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Comparison of option prices in seminartingale models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10003334918
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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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Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas; Rüschendorf, Ludger - In: Finance and stochastics 5 (2001) 4, pp. 557-581
Persistent link: https://www.econbiz.de/10001614624