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subject:"Portfolio selection"
subject:"World"
~person:"Chi, Yichun"
~person:"Martellini, Lionel"
~person:"Rüschendorf, Ludger"
~subject:"Finanzdienstleistung"
~subject:"Theorie"
~type_genre:"Article in journal"
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Portfolio selection
World
Finanzdienstleistung
Theorie
Risikomanagement
20
Risk management
20
Theory
16
Portfolio-Management
14
Risiko
11
Risikomaß
11
Risk
11
Risk measure
11
Reinsurance
5
Rückversicherung
5
Value-at-Risk
4
Dependence uncertainty
3
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2
Factor analysis
2
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2
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expected shortfall
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2005-2012
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Chi, Yichun
Martellini, Lionel
Rüschendorf, Ludger
Broll, Udo
16
Wang, Ruodu
16
Hammoudeh, Shawkat
15
Fabozzi, Frank J.
13
Tan, Ken Seng
12
Embrechts, Paul
11
Bhansali, Vineer
10
Jacobs, Michael <Jr.>
10
Li, Jianping
10
Mao, Tiantian
10
McAleer, Michael
10
Boonen, Tim J.
9
Dionne, Georges
9
Righi, Marcelo Brutti
9
Zhu, Xiaoqian
9
Alexander, Gordon J.
8
Bartram, Söhnke M.
8
Gatzert, Nadine
8
Van Vuuren, Gary
8
Baptista, Alexandre M.
7
Cai, Jun
7
Godin, Frédéric
7
Guillén, Montserrat
7
Hurlin, Christophe
7
Härdle, Wolfgang
7
Janabi, Mazin A. M. al
7
Mitra, Sovan
7
Tang, Qihe
7
Yang, Fan
7
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
Chen, An
6
Chen, Zhiping
6
Cheung, Ka Chun
6
Cossette, Hélène
6
Dias, Alexandra
6
Feng, Runhuan
6
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Insurance / Mathematics & economics
6
Scandinavian actuarial journal
2
The journal of alternative investments
2
The journal of portfolio management : JPM
2
The journal of portfolio management : a publication of Institutional Investor
2
European journal of operational research : EJOR
1
Finance and stochastics
1
Journal of banking & finance
1
Journal of empirical finance
1
Risks : open access journal
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ECONIS (ZBW)
20
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1
Optimal risk management with reinsurance and its counterparty risk hedging
Chi, Yichun
;
Hu, Tao
;
Huang, Yuxia
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 274-292
Persistent link: https://www.econbiz.de/10014466216
Saved in:
2
An insurer's optimal strategy towards a new independent business
Chi, Yichun
;
Huang, Yuxia
;
Tan, Ken Seng
- In:
Scandinavian actuarial journal
2024
(
2024
)
1
,
pp. 89-107
Persistent link: https://www.econbiz.de/10014519973
Saved in:
3
Risk parity and beyond : from asset allocation to risk allocation decisions
Deguest, Romain
;
Martellini, Lionel
;
Meucci, Attilio
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 108-135
Persistent link: https://www.econbiz.de/10013175525
Saved in:
4
Enhancing an insurer's expected value by reinsurance and external financing
Chi, Yichun
;
Liu, Fangda
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 466-484
Persistent link: https://www.econbiz.de/10012793937
Saved in:
5
Measuring and managing the opportunity cost of downside risk protection
Beevers, Nicole
;
Du Plessis, Hannes
;
Martellini, Lionel
; …
- In:
The journal of portfolio management : JPM
48
(
2021
)
1
,
pp. 21-42
Persistent link: https://www.econbiz.de/10012656106
Saved in:
6
Risk sharing with multiple indemnity environments
Asimit, Alexandru V.
;
Boonen, Tim J.
;
Chi, Yichun
; …
- In:
European journal of operational research : EJOR
295
(
2021
)
2
,
pp. 587-603
Persistent link: https://www.econbiz.de/10013205971
Saved in:
7
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:
8
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain
;
Fabozzi, Frank J.
;
Martellini, Lionel
; …
- In:
The journal of fixed income
28
(
2018
)
1
,
pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
Saved in:
9
Factor investing and risk allocation : from traditional to alternative risk premia harvesting
Maeso, Jean-Michel
;
Martellini, Lionel
- In:
The journal of alternative investments
20
(
2017
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10011745094
Saved in:
10
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:
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