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subject:"Hedging"
~person:"Mao, Tiantian"
~person:"Nguyen, Duc Khuong"
~person:"Vanduffel, Steven"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"Portfolio-Theorie"
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Hedging
Risikomaß
Portfolio selection
55
Portfolio-Management
55
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27
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27
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25
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19
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19
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30
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Mao, Tiantian
Nguyen, Duc Khuong
Vanduffel, Steven
Hammoudeh, Shawkat
28
Wang, Ruodu
18
Kang, Sang Hoon
15
Mensi, Walid
15
McAleer, Michael
14
Righi, Marcelo Brutti
13
Tiwari, Aviral Kumar
13
Fabozzi, Frank J.
12
Janabi, Mazin A. M. al
11
Rüschendorf, Ludger
11
Bouri, Elie
10
Lien, Da-hsiang Donald
10
Rosazza Gianin, Emanuela
10
Dhaene, Jan
9
Ghorbel, Ahmed
9
Melʹnikov, Aleksandr V.
9
Müller, Fernanda Maria
9
Uryasev, Stan
9
Guesmi, Khaled
8
Ur Rehman, Mobeen
8
Zhu, Shushang
8
Barbi, Massimiliano
7
Bernard, Carole
7
Brandtner, Mario
7
Härdle, Wolfgang
7
Kim, Young Shin
7
Li, Duan
7
Mora-Valencia, Andrés
7
Pérez Amaral, Teodosio
7
Tan, Ken Seng
7
Tang, Qihe
7
Van Vuuren, Gary
7
Alexander, Gordon J.
6
Cai, Jun
6
Furman, Edward
6
Karmakar, Madhusudan
6
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6
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8
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4
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2
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1
Economics letters
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1
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ECONIS (ZBW)
30
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1
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
2
Robust distortion risk measures
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
3
Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Malek, Jiri
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
;
Quang …
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10014472966
Saved in:
4
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:
5
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
6
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:
7
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
8
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
Saved in:
9
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
10
A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
Economics letters
181
(
2019
),
pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
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