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isPartOf:"Journal of financial and quantitative analysis : JFQA"
subject:"Portfolio selection"
~isPartOf:"Insurance / Mathematics & economics"
~person:"Chen, Ping"
~person:"Yang, Fan"
~subject:"Ausreißer"
~subject:"Zinsstruktur"
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Portfolio selection
Ausreißer
Zinsstruktur
Portfolio-Management
7
Theorie
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Theory
7
Risikomanagement
3
Risikomaß
3
Risk management
3
Risk measure
3
Capital income
2
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2
Mean-variance
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Multivariate Verteilung
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Reinsurance
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ARCH model
1
ARCH-Modell
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Analysis of variance
1
Asset-liability management
1
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1
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1
Constant elasticity of variance
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Continuous-time mean-variance
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Copula
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Defined contribution pension fund
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Diversification
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Dynamic Value-at-Risk (VaR)
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FGM copula
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Geometric Brownian motion
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HJB equation
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Chen, Ping
Yang, Fan
Liang, Zongxia
11
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10
Li, Zhongfei
9
Mao, Tiantian
7
Landsman, Zinoviy
6
Yao, Haixiang
6
Young, Virginia R.
6
Furman, Edward
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Guan, Guohui
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5
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4
Hu, Taizhong
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Rüschendorf, Ludger
4
Shen, Yang
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Tang, Qihe
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Yam, Sheung Chi Phillip
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3
Chiu, Mei Choi
3
Cossette, Hélène
3
Gan, Guojun
3
Gu, Ailing
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Guillén, Montserrat
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Ignatieva, Ekaterina
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Koch Medina, Pablo
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Lai, Yongzeng
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Marceau, Etienne
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Journal of financial and quantitative analysis : JFQA
Insurance / Mathematics & economics
ASTIN bulletin : the journal of the International Actuarial Association
1
Applied mathematical finance
1
Astin bulletin : the journal of the International Actuarial Association
1
Charles A. Dice Center Working Paper
1
Economic modelling
1
Finance research letters
1
Fisher College of Business working paper series
1
International journal of theoretical and applied finance
1
NBER Working Paper
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NBER working paper series
1
Operations research letters
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Review of finance : journal of the European Finance Association
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Risks : open access journal
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Scandinavian actuarial journal
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ECONIS (ZBW)
7
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1
Asymptotic analysis of portfolio diversification
Cui, Hengxin
;
Tan, Ken Seng
;
Yang, Fan
;
Chen Zhou
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 302-325
Persistent link: https://www.econbiz.de/10013380569
Saved in:
2
Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan
;
Tan, Ken Seng
;
Yang, Fan
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
Saved in:
3
Optimal reinsurance under dynamic VaR constraint
Zhang, Nan
;
Zhuo, Jin
;
Li, Shuanming
;
Chen, Ping
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 232-243
Persistent link: https://www.econbiz.de/10011630794
Saved in:
4
Mean-variance asset-liability management under constant elasticity of variance process
Zhang, Miao
;
Chen, Ping
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 11-18
Persistent link: https://www.econbiz.de/10011597077
Saved in:
5
Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian
;
Yang, Fan
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
Saved in:
6
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
Chen, Ping
;
Yam, Sheung Chi Phillip
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 871-883
Persistent link: https://www.econbiz.de/10010227791
Saved in:
7
Markowitz’s mean-variance defined contribution pension fund management under inflation : a continuous-time model
Yao, Haixiang
;
Yang, Zhou
;
Chen, Ping
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 851-863
Persistent link: https://www.econbiz.de/10010227804
Saved in:
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