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subject:"Portfolio-Management"
~person:"Bäuerle, Nicole"
~person:"Mao, Tiantian"
~subject:"Risikomaß"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Fallstudie"
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Search: subject_exact:"Wagnis"
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Portfolio-Management
Risikomaß
Risiko
25
Risk
25
Risk measure
17
Theorie
17
Theory
17
Portfolio selection
13
Risikomanagement
13
Risk management
13
Measurement
10
Messung
10
Statistical distribution
7
Statistische Verteilung
7
Ausreißer
5
Outliers
5
Reinsurance
5
Rückversicherung
5
Robust statistics
4
Robustes Verfahren
4
Decision
3
Decision under risk
3
Entscheidung
3
Entscheidung unter Risiko
3
Erwartungsnutzen
3
Expected utility
3
Markov chain
3
Markov-Kette
3
Mathematical programming
3
Mathematische Optimierung
3
Prospect Theory
3
Prospect theory
3
Risikoaversion
3
Risk aversion
3
Stochastic process
3
Stochastischer Prozess
3
Capital income
2
Coherent risk measure
2
Convex risk measure
2
Cumulative prospect theory
2
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14
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1
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Article
18
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Aufsatz in Zeitschrift
Fallstudie
Article in journal
18
Arbeitspapier
1
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1
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English
18
Author
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Bäuerle, Nicole
Mao, Tiantian
Righi, Marcelo Brutti
18
Wang, Ruodu
18
Rosazza Gianin, Emanuela
13
Huang, Xiaoxia
12
Wong, Wing Keung
12
Eeckhoudt, Louis R.
10
Fabozzi, Frank J.
10
Gollier, Christian
10
Laeven, Roger J. A.
10
Brandtner, Mario
9
Cai, Jun
9
Denuit, Michel
9
Furman, Edward
9
Müller, Fernanda Maria
9
Rüschendorf, Ludger
9
Bellini, Fabio
8
Cheung, Ka Chun
8
Kakushadze, Zura
8
Pichler, Alois
8
Satchell, Stephen
8
Tang, Qihe
8
Asimit, Alexandru V.
7
Balbás de la Corte, Alejandro
7
Bali, Turan G.
7
Guillén, Montserrat
7
Kürsten, Wolfgang
7
Munari, Cosimo-Andrea
7
Rudloff, Birgit
7
Siu, Tak Kuen
7
Wagner, Niklas F.
7
Zaremba, Adam
7
Chen, Zhiping
6
Chiang, Thomas C.
6
Feinstein, Zachary
6
Jarrow, Robert A.
6
Kountzakis, Christos E.
6
Liu, Haiyan
6
Luo, Yulei
6
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Insurance / Mathematics & economics
7
Mathematics of operations research
2
Scandinavian actuarial journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
European journal of operational research : EJOR
1
Finance and stochastics
1
International journal of theoretical and applied finance : IJTAF
1
Mathematical methods of operations research : ZOR
1
Risks : open access journal
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ECONIS (ZBW)
18
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18
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1
Minimizing spectral risk measures applied to Markov decision processes
Bäuerle, Nicole
;
Glauner, Alexander
- In:
Mathematical methods of operations research : ZOR
94
(
2021
)
1
,
pp. 35-69
Persistent link: https://www.econbiz.de/10012618978
Saved in:
2
Optimal investment under partial information and robust VAR-type constraint
Bäuerle, Nicole
;
Chen, An
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014497281
Saved in:
3
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:
4
Markov decision processes with recursive risk measures
Bäuerle, Nicole
;
Glauer, Alexander
- In:
European journal of operational research : EJOR
296
(
2022
)
3
,
pp. 953-966
Persistent link: https://www.econbiz.de/10013255611
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
Distributionally robust Markov decision processes and their connection to risk measures
Bäuerle, Nicole
;
Glauner, Alexander
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 1757-1780
Persistent link: https://www.econbiz.de/10013374970
Saved in:
7
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:
8
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:
9
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:
10
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
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