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subject:"Portfolio selection"
subject:"World"
~person:"Brandtner, Mario"
~source:"econis"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Bibliografie enthalten"
~type_genre:"Konferenzschrift"
~type_genre:"Textbook"
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Portfolio selection
World
Risikomaß
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5
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5
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4
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4
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4
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4
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3
Reinsurance
2
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1
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Expected Shortfall
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disutility based risk measure
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Brandtner, Mario
Wang, Ruodu
17
Hammoudeh, Shawkat
15
Fabozzi, Frank J.
13
Embrechts, Paul
12
Mao, Tiantian
10
McAleer, Michael
10
Tan, Ken Seng
9
Cai, Jun
8
Li, Jianping
8
Righi, Marcelo Brutti
8
Alexander, Gordon J.
7
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7
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7
Guillén, Montserrat
7
Janabi, Mazin A. M. al
7
Mensi, Walid
7
Mitra, Sovan
7
Puccetti, Giovanni
7
Rüschendorf, Ludger
7
Yang, Fan
7
Allen, David E.
6
Baptista, Alexandre M.
6
Bernard, Carole
6
Chen, An
6
Chen, Zhiping
6
Godin, Frédéric
6
Jacobs, Michael <Jr.>
6
Ji, Qiang
6
Kakushadze, Zura
6
Karmakar, Madhusudan
6
Martellini, Lionel
6
Naeem, Muhammad Abubakr
6
Reboredo, Juan Carlos
6
Stoja, Evarist
6
Tiwari, Aviral Kumar
6
Zhu, Shushang
6
Zhu, Xiaoqian
6
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5
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Insurance / Mathematics & economics
1
Journal of banking & finance
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Scandinavian actuarial journal
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
5
Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 156-167
Persistent link: https://www.econbiz.de/10010469143
Saved in:
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