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person:"Epstein, Larry G."
subject:"Risiko"
~accessRights:"restricted"
~person:"Brandtner, Mario"
~subject:"Portfolio selection"
~subject:"Risk aversion"
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Risiko
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8
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8
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8
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Epstein, Larry G.
Brandtner, Mario
Escobar, Marcos
23
Wang, Ruodu
23
Fabozzi, Frank J.
22
Wong, Wing Keung
20
Gupta, Rangan
18
Uppal, Raman
15
Eeckhoudt, Louis R.
14
Muhle-Karbe, Johannes
14
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14
Righi, Marcelo Brutti
14
Yang, Jinqiang
14
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13
Forsyth, Peter A.
13
Gollier, Christian
13
Kit, Pong Wong
13
Bernard, Carole
12
Boonen, Tim J.
12
Chen, An
12
Guo, Xu
12
Tan, Ken Seng
12
Vanduffel, Steven
12
Zagst, Rudi
12
Chen, Zhiping
11
Cui, Xiangyu
11
Jang, Bong-Gyu
11
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11
Li, Duan
11
Menegatti, Mario
11
Soner, Halil Mete
11
Wong, Hoi Ying
11
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10
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10
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10
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10
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10
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9
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9
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European journal of operational research : EJOR
3
Journal of banking & finance
2
Economic theory
1
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1
Modern finance and risk management : Festschrift in honour of Hermann Locarek-Junge
1
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ECONIS (ZBW)
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1
Tail nonlinearly transformed risk measure as a capital constraint : a better choice for bank regulation than conditional value-at-risk?
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Modern finance and risk management : Festschrift in …
,
(pp. 197-218)
.
2022
Persistent link: https://www.econbiz.de/10013336233
Saved in:
2
Decision making under uncertainty : a special issue in honor of Larry Epstein
Miao, Jianjun
(
ed.
);
Epstein, Larry G.
(
honouree
)
-
2022
Persistent link: https://www.econbiz.de/10013442121
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
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
5
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:
6
Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
264
(
2018
)
2
,
pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
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
Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
European journal of operational research : EJOR
259
(
2017
)
1
,
pp. 394-399
Persistent link: https://www.econbiz.de/10011645033
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
Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Journal of banking & finance
58
(
2015
),
pp. 268-280
Persistent link: https://www.econbiz.de/10011544006
Saved in:
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