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person:"Cornett, Marcia Millon"
subject:"Theory"
~language:"eng"
~person:"Brandtner, Mario"
~person:"Embrechts, Paul"
~person:"Pedersen, Lasse Heje"
~subject:"Hedging"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Hedging
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Risikomanagement
22
Risk management
22
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20
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16
Risk measure
16
Portfolio selection
10
Portfolio-Management
10
Risiko
10
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10
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6
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6
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4
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Cornett, Marcia Millon
Brandtner, Mario
Embrechts, Paul
Pedersen, Lasse Heje
Wang, Ruodu
15
Fabozzi, Frank J.
13
Tan, Ken Seng
12
Li, Johnny Siu-Hang
11
Broll, Udo
10
Dionne, Georges
10
Hammoudeh, Shawkat
10
Mao, Tiantian
10
Cai, Jun
8
Gatzert, Nadine
8
Godin, Frédéric
8
Bartram, Söhnke M.
7
Bhansali, Vineer
7
Härdle, Wolfgang
7
Kouvelis, Panos
7
Rüschendorf, Ludger
7
Yang, Fan
7
Alexander, Gordon J.
6
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
Boonen, Tim J.
6
Chen, Zhiping
6
Chi, Yichun
6
Cossette, Hélène
6
Dias, Alexandra
6
Feng, Runhuan
6
Fernando, Chitru S.
6
Furman, Edward
6
Puccetti, Giovanni
6
Righi, Marcelo Brutti
6
Sherris, Michael
6
Tang, Qihe
6
Zhou, Kenneth Q.
6
Baptista, Alexandre M.
5
Bernard, Carole
5
Cheung, Ka Chun
5
Guillén, Montserrat
5
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5
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2
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1
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1
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ECONIS (ZBW)
20
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1
Deep value
Asness, Cliff
;
Liew, John
;
Pedersen, Lasse Heje
; …
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 11-40
Persistent link: https://www.econbiz.de/10012486041
Saved in:
2
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
3
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
4
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
5
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
6
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
7
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
8
A Darwinian view on internal models
Embrechts, Paul
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011847418
Saved in:
9
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
10
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
Saved in:
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