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person:"Koedijk, Kees"
subject:"Portfolio-Management"
~person:"Chen, Zhiping"
~person:"Mitra, Sovan"
~person:"Rüschendorf, Ludger"
~subject:"Financial investment"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio-Management
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26
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Koedijk, Kees
Chen, Zhiping
Mitra, Sovan
Rüschendorf, Ludger
Wang, Ruodu
12
Fabozzi, Frank J.
11
Hammoudeh, Shawkat
11
Mao, Tiantian
8
Alexander, Gordon J.
7
Guillén, Montserrat
7
Janabi, Mazin A. M. al
7
Tan, Ken Seng
7
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7
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6
Bhansali, Vineer
6
Kakushadze, Zura
6
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6
Righi, Marcelo Brutti
6
Zhu, Shushang
6
Chen, An
5
Godin, Frédéric
5
Jacobs, Michael <Jr.>
5
Li, Duan
5
Mensi, Walid
5
Regis, Luca
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Satchell, Stephen
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Boonen, Tim J.
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Brandtner, Mario
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Cossette, Hélène
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Ghorbel, Ahmed
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Lin, Yijia
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Marceau, Etienne
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Pérez Amaral, Teodosio
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European journal of operational research : EJOR
3
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3
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1
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1
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1
IMA journal of management mathematics
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Journal of empirical finance
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ECONIS (ZBW)
17
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1
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:
2
An analysis of dollar cost averaging and market timing investment strategies
Kirkby, J. Lars
;
Mitra, Sovan
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1168-1186
Persistent link: https://www.econbiz.de/10012291635
Saved in:
3
Analysis of risk bounds in partially specified additive factor models
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 115-121
Persistent link: https://www.econbiz.de/10012058839
Saved in:
4
Stock-ADR arbitrage : microstructure risk
Mitra, Sovan
;
Chinthalapati, V. L. Raju
;
Clark, Ephraim
; …
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012263282
Saved in:
5
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:
6
Efficient option risk measurement with reduced model risk
Mitra, Sovan
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 163-174
Persistent link: https://www.econbiz.de/10011694422
Saved in:
7
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
8
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
Saved in:
9
Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
Chen, Zhiping
;
Liu, Jia
;
Li, Gang
;
Yan, Zhe
- In:
Top : an official journal of the Spanish Society of …
24
(
2016
)
3
,
pp. 515-540
Persistent link: https://www.econbiz.de/10011671484
Saved in:
10
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
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