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person:"Koedijk, Kees"
subject:"Portfolio-Management"
~accessRights:"restricted"
~person:"Christoffersen, Peter F."
~person:"Wang, Ruodu"
~subject:"Multivariate distribution"
~subject:"United States"
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Portfolio-Management
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Koedijk, Kees
Christoffersen, Peter F.
Wang, Ruodu
Hammoudeh, Shawkat
8
Tan, Ken Seng
8
Guillén, Montserrat
6
Mao, Tiantian
6
Mensi, Walid
6
Acharya, Viral V.
5
Bernard, Carole
5
Bouri, Elie
5
Chen, An
5
Cossette, Hélène
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5
Marceau, Etienne
5
Righi, Marcelo Brutti
5
Shahzad, Syed Jawad Hussain
5
Yang, Fan
5
Al-Yahyaee, Khamis Hamed
4
Boonen, Tim J.
4
Brandtner, Mario
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Gatzert, Nadine
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Härdle, Wolfgang
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Kang, Sang Hoon
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Rüschendorf, Ludger
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Santolino, Miguel
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Tiwari, Aviral Kumar
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Ur Rehman, Mobeen
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Vanduffel, Steven
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Zenios, Stauros Andrea
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Belles-Sampera, Jaume
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Bloss, Michael
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Bolder, David Jamieson
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Broll, Udo
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Cai, Jun
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Cesarone, Francesco
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Chen, Zhiping
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Chi, Yichun
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ECONIS (ZBW)
14
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
7
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:
8
Dynamic dependence and diversification in corporate credit
Christoffersen, Peter F.
;
Jacobs, Kris
;
Jin, Xisong
; …
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
2
,
pp. 521-560
Persistent link: https://www.econbiz.de/10011990811
Saved in:
9
Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward
;
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Journal of banking & finance
83
(
2017
),
pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
Saved in:
10
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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