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person:"Fabozzi, Frank J."
subject:"Portfolio-Management"
~person:"Brandtner, Mario"
~person:"Chen, Zhiping"
~type:"article"
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Portfolio-Management
Risk management
39
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18
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Fabozzi, Frank J.
Brandtner, Mario
Chen, Zhiping
Hammoudeh, Shawkat
12
Wang, Ruodu
12
Janabi, Mazin A. M. al
9
Martellini, Lionel
9
Mao, Tiantian
8
Alexander, Gordon J.
7
Bhansali, Vineer
7
Guillén, Montserrat
7
Righi, Marcelo Brutti
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Tan, Ken Seng
7
Yang, Fan
7
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6
Chen, An
6
Härdle, Wolfgang
6
Jacobs, Michael <Jr.>
6
Kakushadze, Zura
6
Zhu, Shushang
6
Godin, Frédéric
5
Li, Duan
5
Mensi, Walid
5
Mitra, Sovan
5
Regis, Luca
5
Rüschendorf, Ludger
5
Satchell, Stephen
5
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4
Bernard, Carole
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4
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4
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4
Kang, Sang Hoon
4
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4
Kritzman, Mark
4
Lin, Yijia
4
Luciano, Elisa
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4
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Journal of banking & finance
2
The handbook of fixed income securities
2
The journal of portfolio management : JPM
2
Applied economics
1
Applied financial economics letters
1
China finance review international
1
European journal of operational research : EJOR
1
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IMA journal of management mathematics
1
Insurance / Mathematics & economics
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International journal of finance & economics : IJFE
1
International journal of theoretical and applied finance : IJTAF
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Investment management and financial management
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Journal of empirical finance
1
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Scandinavian actuarial journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The handbook of commodity investing
1
The journal of fixed income
1
The journal of fixed income : JFI
1
The journal of portfolio management : a publication of Institutional Investor
1
The theory and practice of investment management
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Top : an official journal of the Spanish Society of Statistics and Operations Research
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ECONIS (ZBW)
27
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1
Portfolio volatility spillover
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-39
Persistent link: https://www.econbiz.de/10013371157
Saved in:
2
Editors' introduction to the special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
47
(
2021
)
9
,
pp. 1-4
Persistent link: https://www.econbiz.de/10012613454
Saved in:
3
Risk parity : the democratization of risk in asset allocation
Fabozzi, Francesco A.
;
Simonian, Joseph
;
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 41-50
Persistent link: https://www.econbiz.de/10012503362
Saved in:
4
From ad hoc bond-risk measures to variance-covariance forecasts
Jong, Marielle de
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
4
,
pp. 6-16
Persistent link: https://www.econbiz.de/10012517176
Saved in:
5
Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
Yang, Peng
;
Chen, Zhiping
- In:
IMA journal of management mathematics
34
(
2023
)
4
,
pp. 661-694
Persistent link: https://www.econbiz.de/10014389017
Saved in:
6
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:
7
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:
8
Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Liu, Jia
;
Chen, Zhiping
- In:
European journal of operational research : EJOR
268
(
2018
)
1
,
pp. 373-385
Persistent link: https://www.econbiz.de/10011813114
Saved in:
9
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:
10
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain
;
Fabozzi, Frank J.
;
Martellini, Lionel
; …
- In:
The journal of fixed income
28
(
2018
)
1
,
pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
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