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On the optimal risk allocation...
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Stochastic process
Theorie
33
Theory
33
Portfolio selection
24
Portfolio-Management
24
Risikomaß
22
Risk measure
22
Risiko
18
Risk
18
Risk management
12
Risikomanagement
11
Value-at-Risk
7
Measurement
6
Messung
6
Allocation
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Allokation
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Credit risk
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Kreditrisiko
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Stochastischer Prozess
5
Dependence uncertainty
4
Positive dependence
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expected shortfall
4
Basel 3.5
3
Cost-efficient strategies
3
Esscher transform
3
Factor analysis
3
Faktorenanalyse
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Hedging
3
Option pricing theory
3
Optionspreistheorie
3
Risk aggregation
3
VAR model
3
VAR-Modell
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backtesting
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model uncertainty
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risk-weighted assets
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robustness
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English
5
Author
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Rüschendorf, Ludger
5
Wolf, Viktor
3
Bergenthum, Jan
1
Faugeras, Olivier
1
Hammerstein, Ernst August v.
1
Lütkebohmert, Eva
1
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Applied mathematical finance
1
Finance and stochastics
1
International journal of theoretical and applied finance
1
Working papers / TSE : WP
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ECONIS (ZBW)
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Risk excess measures induced by hemi-metrics
Faugeras, Olivier
;
Rüschendorf, Ludger
-
2018
Persistent link: https://www.econbiz.de/10013488890
Saved in:
2
Optimality of payoffs in Lévy models
Hammerstein, Ernst August v.
;
Lütkebohmert, Eva
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-46
Persistent link: https://www.econbiz.de/10010438495
Saved in:
3
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
Saved in:
4
On the method of optimal portfolio choice by cost-efficiency
Rüschendorf, Ludger
;
Wolf, Viktor
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011547051
Saved in:
5
Construction and hedging of optimal payoffs in Lévy models
Rüschendorf, Ludger
;
Wolf, Viktor
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 331-377)
.
2016
Persistent link: https://www.econbiz.de/10011800386
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