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subject:"Portfolio selection"
subject:"World"
~person:"Martellini, Lionel"
~person:"Rüschendorf, Ludger"
~source:"econis"
~subject:"Finanzdienstleistung"
~subject:"Theorie"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Portfolio selection
World
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Risikomanagement
15
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15
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11
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11
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9
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9
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8
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4
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expected shortfall
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Martellini, Lionel
Rüschendorf, Ludger
Broll, Udo
30
McAleer, Michael
19
Wang, Ruodu
19
Hammoudeh, Shawkat
18
Daníelsson, Jón
16
Härdle, Wolfgang
15
Dionne, Georges
14
Embrechts, Paul
13
Fabozzi, Frank J.
13
Rochet, Jean-Charles
13
Engle, Robert F.
12
Pelizzon, Loriana
12
Tan, Ken Seng
12
Vries, Casper G. de
12
Acharya, Viral V.
11
Gatzert, Nadine
11
Mao, Tiantian
11
Schuermann, Til
11
Bhansali, Vineer
10
Jacobs, Michael <Jr.>
10
Li, Jianping
10
Lucas, André
10
Schmeiser, Hato
10
Bannier, Christina E.
9
Boonen, Tim J.
9
Migueis, Marco
9
Righi, Marcelo Brutti
9
Zhu, Xiaoqian
9
Adam-Müller, Axel F. A.
8
Alexander, Gordon J.
8
Allen, Franklin
8
Bartram, Söhnke M.
8
Csóka, Péter
8
Curti, Filippo
8
Farkas, Walter
8
Hurlin, Christophe
8
Jung, Hyeyoon
8
Kit, Pong Wong
8
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8
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8
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Insurance / Mathematics & economics
2
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2
The journal of portfolio management : JPM
2
The journal of portfolio management : a publication of Institutional Investor
2
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1
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Journal of empirical finance
1
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ECONIS (ZBW)
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1
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:
2
Risk excess measures induced by hemi-metrics
Faugeras, Olivier
;
Rüschendorf, Ludger
-
2018
Persistent link: https://www.econbiz.de/10013488890
Saved in:
3
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:
4
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:
5
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:
6
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:
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
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:
10
Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
Saved in:
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