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accessRights:"restricted"
~person:"Chen, An"
~person:"Guillén, Montserrat"
~subject:"Derivative"
~subject:"Portfolio-Management"
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Chen, An
Guillén, Montserrat
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ECONIS (ZBW)
12
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1
Optimal investment under partial information and robust VAR-type constraint
Bäuerle, Nicole
;
Chen, An
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014497281
Saved in:
2
Risk management under weighted limited expected loss
Chen, An
;
Nguyen, Thai
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 593-612
Persistent link: https://www.econbiz.de/10014552107
Saved in:
3
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
4
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
5
Optimal collective investment : The impact of sharing rules, management fees and guarantees
Chen, An
;
Nguyen, Thai
;
Rach, Manuel Matthias
- In:
Journal of banking & finance
123
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012662259
Saved in:
6
Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Journal of risk
19
(
2016
)
2
,
pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
Saved in:
7
Forecasting compositional risk allocations
Boonen, Tim J.
;
Guillén, Montserrat
;
Santolino, Miguel
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 79-86
Persistent link: https://www.econbiz.de/10011990442
Saved in:
8
Optimal investment under VaR-Regulation and Minimum Insurance
Chen, An
;
Nguyen, Thai
;
Stadje, Mitja
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 194-209
Persistent link: https://www.econbiz.de/10011825449
Saved in:
9
Risk management with multiple VaR constraints
Chen, An
;
Thai Huu Nguyen
;
Stadje, Mitja
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 297-337
Persistent link: https://www.econbiz.de/10011935692
Saved in:
10
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
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