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subject:"Portfolio-Management"
type_genre:"Article in journal"
~person:"Wang, Ruodu"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Book section"
~type_genre:"Lehrbuch"
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Search: subject_exact:"Theory"
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Portfolio-Management
Theorie
32
Theory
32
Risikomaß
24
Risk measure
24
Risiko
21
Risk
21
Portfolio selection
17
Risikomanagement
15
Risk management
15
Measurement
13
Messung
13
Value-at-Risk
8
Basel Accord
6
Basler Akkord
6
Statistical distribution
6
Statistische Verteilung
6
Aggregation
5
Expected Shortfall
5
Risk aggregation
5
expected shortfall
5
risk aggregation
4
Basel III
3
Decision under risk
3
Dependence uncertainty
3
Entscheidung unter Risiko
3
Pareto optimality
3
robustness
3
value-at-risk
3
Allocation
2
Allokation
2
Bank risk
2
Bankrisiko
2
Complete mixability
2
Decision under uncertainty
2
Entscheidung unter Unsicherheit
2
Erwartungsnutzen
2
Expected shortfall
2
Expected utility
2
Financial Engineering
2
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15
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Article
17
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Article in journal
Aufsatz in Zeitschrift
Book section
Lehrbuch
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Working Paper
2
Language
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English
17
Author
All
Wang, Ruodu
Fabozzi, Frank J.
70
Korn, Ralf
32
Escobar, Marcos
27
Li, Duan
25
Markowitz, Harry
25
Wong, Wing Keung
25
Prigent, Jean-Luc
22
Račev, Svetlozar T.
22
Zagst, Rudi
22
Gollier, Christian
21
Maurer, Raimond
20
Steiner, Manfred
19
Forsyth, Peter A.
17
Levy, Haim
17
Platen, Eckhard
17
Satchell, Stephen
17
Wong, Hoi Ying
17
Jarrow, Robert A.
16
Post, Thierry
16
Sass, Jörn
16
Chen, Zhiping
15
Cvitanić, Jakša
15
Li, Zhongfei
15
Lioui, Abraham
15
Rüschendorf, Ludger
15
Yao, Haixiang
15
Zariphopoulou-Souganidis, Thaleia
15
Bodie, Zvi
14
Cui, Xiangyu
14
Guerard, John Baynard
14
Kane, Alex
14
Kraft, Holger
14
Schenk-Hoppé, Klaus Reiner
14
Vanduffel, Steven
14
Kim, Woo Chang
13
Kwon, Roy H.
13
Liang, Zongxia
13
Schied, Alexander
13
Siu, Tak Kuen
13
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Insurance / Mathematics & economics
5
Finance and stochastics
3
Operations research
3
Journal of banking & finance
1
Journal of econometrics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematics of operations research
1
North American actuarial journal
1
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ECONIS (ZBW)
17
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1
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10
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17
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1
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
2
Diversification quotients based on VaR and ES
Han, Xia
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 185-197
Persistent link: https://www.econbiz.de/10014466211
Saved in:
3
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
4
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
5
Star-shaped risk measures
Castagnoli, Erio
;
Cattelan, Giacomo
;
Maccheroni, Fabio
; …
- In:
Operations research
70
(
2022
)
5
,
pp. 2637-2654
Persistent link: https://www.econbiz.de/10014306966
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
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
8
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
9
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
10
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
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