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~person:"Li, Duan"
~person:"Wang, Ruodu"
~subject:"Portfolio-Management"
~subject:"Risiko"
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Portfolio-Management
Risiko
Theorie
119
Theory
119
Portfolio selection
65
Risikomaß
46
Risk measure
46
Risk
43
Risikomanagement
25
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25
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23
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expected shortfall
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Li, Duan
Wang, Ruodu
Fabozzi, Frank J.
132
Gollier, Christian
101
Maurer, Raimond
85
Platen, Eckhard
55
Weber, Martin
49
Korn, Ralf
47
Mitchell, Olivia S.
45
Satchell, Stephen
45
Broll, Udo
44
Eeckhoudt, Louis R.
44
Uppal, Raman
44
Viscusi, W. Kip
44
Campbell, John Y.
43
Guidolin, Massimo
42
Post, Thierry
42
Ludwig, Alexander
41
Markowitz, Harry
41
Ang, Andrew
40
Allen, Franklin
39
Levy, Haim
39
Vanduffel, Steven
39
Castelnuovo, Efrem
36
Epstein, Larry G.
36
Lo, Andrew W.
36
Hens, Thorsten
35
Kraft, Holger
35
Schenk-Hoppé, Klaus Reiner
35
Wong, Wing Keung
35
Prigent, Jean-Luc
34
Schlesinger, Harris
34
Escobar, Marcos
33
Jarrow, Robert A.
33
Viceira, Luis M.
33
Albrecht, Peter
32
Lucas, André
32
Bernard, Carole
31
Chichilnisky, Graciela
31
Dhaene, Jan
31
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European journal of operational research : EJOR
7
Insurance / Mathematics & economics
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Finance and stochastics
4
Operations research
4
Journal of economic dynamics & control
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Mathematics of operations research
3
Research paper series / Swiss Finance Institute
3
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
2
Journal of banking & finance
2
Journal of the Operational Research Society : OR
2
The journal of computational finance
2
Astin bulletin : the journal of the International Actuarial Association
1
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
INFORMS journal on computing : JOC
1
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1
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North American actuarial journal
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Operations research letters
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Swiss Finance Institute Research Paper
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
84
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84
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1
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Zhu, Shushang
;
Jin, Xiaodong
;
Li, Duan
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 11-40
Persistent link: https://www.econbiz.de/10011480704
Saved in:
2
Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang
;
Fan, Minjie
;
Li, Duan
- In:
Journal of economic dynamics & control
48
(
2014
),
pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
Saved in:
3
Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach
Zhu, Shushang
-
2013
We develop in this paper a novel portfolio selection framework with a feature of dual robustness in both return distribution modeling and portfolio optimization. While predicting the return distributions of the future market always represents the most compelling challenge in investment, any...
Persistent link: https://www.econbiz.de/10013076696
Saved in:
4
A portfolio selection model using fuzzy returns
Li, Duan
;
Stahlecker, Peter
- In:
Fuzzy optimization and decision making : a journal of …
10
(
2011
)
2
,
pp. 167-191
Persistent link: https://www.econbiz.de/10009240941
Saved in:
5
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun
;
Xiong, Yan
;
Li, Duan
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
Saved in:
6
Classical mean-variance model revisited : pseudo efficiency
Cui, Xiangyu
;
Li, Duan
;
Yan, Jia-an
- In:
Journal of the Operational Research Society : OR
66
(
2015
)
10
,
pp. 1646-1655
Persistent link: https://www.econbiz.de/10011417708
Saved in:
7
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
Saved in:
8
CreditRisk+ model with dependent risk factors
Wang, Ruodu
;
Peng, Liang
;
Yang, Jingping
- In:
North American actuarial journal
19
(
2015
)
1
,
pp. 24-40
Persistent link: https://www.econbiz.de/10011420714
Saved in:
9
Joint mixability
Wang, Bin
;
Wang, Ruodu
- In:
Mathematics of operations research
41
(
2016
)
3
,
pp. 808-826
Persistent link: https://www.econbiz.de/10011520575
Saved in:
10
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang
;
Li, Zhongfei
;
Li, Duan
- In:
European journal of operational research : EJOR
252
(
2016
)
3
,
pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
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