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Consistent risk measures for portfolio vectors
Burgert, Christian; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 38 (2006) 2, pp. 289-297
Persistent link: https://www.econbiz.de/10006871525
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Allocation of risks and equilibrium in markets with finitely many traders
Burgert, Christian; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 177-188
Persistent link: https://www.econbiz.de/10007905833
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Allocation of risks and equilibrium in markets with finitely many traders
Burgert, Christian; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 177-189
Persistent link: https://www.econbiz.de/10008886703
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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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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764
Persistent link: https://www.econbiz.de/10010132098
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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 allocation of risk vectors
Kiesel, Swen; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 167-176
Persistent link: https://www.econbiz.de/10008447804
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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