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person:"Koedijk, Kees"
subject:"Portfolio-Management"
~accessRights:"restricted"
~person:"Christoffersen, Peter F."
~person:"Wang, Ruodu"
~person:"Yang, Fan"
~subject:"Measurement"
~subject:"United States"
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Portfolio-Management
Measurement
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26
Risk management
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18
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Risk measure
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Koedijk, Kees
Christoffersen, Peter F.
Wang, Ruodu
Yang, Fan
Hammoudeh, Shawkat
7
Mao, Tiantian
7
Chen, An
6
Guillén, Montserrat
6
Tan, Ken Seng
6
Acharya, Viral V.
5
Bernard, Carole
5
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5
Brandtner, Mario
5
Fabozzi, Frank J.
5
Mensi, Walid
5
Righi, Marcelo Brutti
5
Cai, Jun
4
Cossette, Hélène
4
Härdle, Wolfgang
4
Kang, Sang Hoon
4
Lazar, Emese
4
Li, Jianping
4
Marceau, Etienne
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Mitra, Sovan
4
Nguyen, Thai
4
Rösch, Daniel
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Rüschendorf, Ludger
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Santolino, Miguel
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Vanduffel, Steven
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Zenios, Stauros Andrea
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Zhu, Xiaoqian
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Almeida, Heitor
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Althof, Michael
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Belles-Sampera, Jaume
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Ben Ameur, Hachmi
3
Bloss, Michael
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Bolder, David Jamieson
3
Bouri, Elie
3
Broll, Udo
3
Cesarone, Francesco
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ECONIS (ZBW)
19
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1
Optimal capital structure and risk management policies of banks that use coco futures to hedge financial-sector risk
Goldstein, Robert S.
;
Yang, Fan
- In:
Review of finance : journal of the European Finance …
28
(
2024
)
1
,
pp. 235-270
Persistent link: https://www.econbiz.de/10014527077
Saved in:
2
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
3
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:
4
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
5
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
6
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
7
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
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8
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
9
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:
10
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
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