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isPartOf:"Journal of financial and quantitative analysis : JFQA"
subject:"Portfolio selection"
~isPartOf:"Insurance / Mathematics & economics"
~person:"Guan, Guohui"
~person:"Yang, Fan"
~subject:"Loss aversion"
~subject:"Zinsstruktur"
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Portfolio selection
Loss aversion
Zinsstruktur
Portfolio-Management
8
Theorie
8
Theory
8
Stochastic process
4
Stochastischer Prozess
4
Capital income
3
Kapitaleinkommen
3
Reinsurance
3
Risikomanagement
3
Risikomaß
3
Risk management
3
Risk measure
3
Rückversicherung
3
Stochastic interest rate
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Altersvorsorge
2
Defined contribution pension plan
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Interest rate
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Multivariate Verteilung
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Multivariate distribution
2
Pension fund
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Pensionskasse
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Proportional reinsurance
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Retirement provision
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Stochastic dynamic programming
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Value-at-Risk
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Zins
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Asymptotic analysis
1
Ausreißer
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CRRA utility
1
Copula
1
Decision under uncertainty
1
Diversification
1
Dynamic programming
1
Dynamische Optimierung
1
Entscheidung unter Unsicherheit
1
Equilibrium control law
1
Expectiles
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Extreme values
1
FGM copula
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Guan, Guohui
Yang, Fan
Liang, Zongxia
11
Zeng, Yan
10
Li, Zhongfei
9
Mao, Tiantian
6
Yao, Haixiang
6
Young, Virginia R.
6
Li, Danping
5
Wang, Ruodu
5
Chen, Ping
4
Dhaene, Jan
4
Furman, Edward
4
Landsman, Zinoviy
4
Rüschendorf, Ludger
4
Shen, Yang
4
Tang, Qihe
4
Wong, Hoi Ying
4
Yam, Sheung Chi Phillip
4
Zhao, Hui
4
Chiu, Mei Choi
3
Cossette, Hélène
3
Gan, Guojun
3
Gu, Ailing
3
Guillén, Montserrat
3
Koch Medina, Pablo
3
Lai, Yongzeng
3
Li, Jinzhu
3
Liang, Xiaoqing
3
Liang, Zhibin
3
Mandjes, Michel
3
Marceau, Etienne
3
Peng, Xingchun
3
Rong, Ximin
3
Tan, Ken Seng
3
Trufin, Julien
3
Wei, Jiaqin
3
Weng, Chengguo
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Journal of financial and quantitative analysis : JFQA
Insurance / Mathematics & economics
ASTIN bulletin : the journal of the International Actuarial Association
1
Charles A. Dice Center Working Paper
1
European journal of operational research : EJOR
1
Fisher College of Business working paper series
1
Insurance : mathematics and economics
1
Journal of economic dynamics & control
1
NBER Working Paper
1
NBER working paper series
1
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science
1
Review of finance : journal of the European Finance Association
1
Risks : open access journal
1
Scandinavian actuarial journal
1
The North American journal of economics and finance : a journal of financial economics studies
1
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
8
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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
Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 63-78
Persistent link: https://www.econbiz.de/10012133510
Saved in:
4
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Guan, Guohui
;
Liang, Zongxia
;
Feng, Jian
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 122-133
Persistent link: https://www.econbiz.de/10011944107
Saved in:
5
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 224-237
Persistent link: https://www.econbiz.de/10011533911
Saved in:
6
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:
7
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 99-109
Persistent link: https://www.econbiz.de/10010515914
Saved in:
8
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 105-115
Persistent link: https://www.econbiz.de/10010366200
Saved in:
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