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Portfolio allocation using multivariate variance gamma models
Hitai, Asmerilda; Mercuri, Lorenzo - In: Financial markets and portfolio management 27 (2013) 1, pp. 65-99
Persistent link: https://www.econbiz.de/10010091768
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Runs tests for assessing volatility forecastability in financial time series
Bellini, Fabio; Figà-Talamanca, Gianna - In: European journal of operational research : EJOR 163 (2005) 1, pp. 102-114
Persistent link: https://www.econbiz.de/10006641723
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ARTICLES - On the Existence of Minimax Martingale Measures
Bellini, Fabio; Frittelli, Marco - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10008216483
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On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994
Persistent link: https://www.econbiz.de/10008052226
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Haezendonck–Goovaerts risk measures and Orlicz quantiles
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 107-115
Persistent link: https://www.econbiz.de/10009972460
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On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-995
Persistent link: https://www.econbiz.de/10008883932