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subject:"Portfolio-Management"
~person:"Feinstein, Zachary"
~person:"Mao, Tiantian"
~subject:"Dynamic risk measures"
~subject:"Risikomaß"
~subject:"Risk"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Fallstudie"
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Portfolio-Management
Dynamic risk measures
Risikomaß
Risk
Risiko
22
Risk measure
17
Theorie
17
Theory
17
Measurement
14
Messung
14
Portfolio selection
12
Risikomanagement
10
Risk management
10
Statistical distribution
6
Statistische Verteilung
6
Time consistency
5
Zeitkonsistenz
5
Ausreißer
4
Outliers
4
Decision under risk
3
Entscheidung unter Risiko
3
Erwartungsnutzen
3
Expected utility
3
Prospect Theory
3
Prospect theory
3
Reinsurance
3
Risikoaversion
3
Risk aversion
3
Rückversicherung
3
Capital income
2
Coherent risk measure
2
Convex risk measure
2
Cumulative prospect theory
2
Dynamic risk measure
2
Estimation theory
2
Expectile
2
Kapitaleinkommen
2
Multivariate Analyse
2
Multivariate analysis
2
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2
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18
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22
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Aufsatz in Zeitschrift
Fallstudie
Article in journal
22
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
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1
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English
22
Author
All
Feinstein, Zachary
Mao, Tiantian
Gupta, Rangan
91
Viscusi, W. Kip
45
Eeckhoudt, Louis R.
42
Gollier, Christian
39
Bahmani-Oskooee, Mohsen
28
Demirer, Rıza
28
Lee, Chien-chiang
25
Gozgor, Giray
24
Wang, Ruodu
24
Wong, Wing Keung
23
Balcilar, Mehmet
22
Hammoudeh, Shawkat
22
Chavas, Jean-Paul
21
Kit, Pong Wong
21
Demir, Ender
20
Wohar, Mark E.
20
Chiang, Thomas C.
19
Denuit, Michel
19
Righi, Marcelo Brutti
19
Tiwari, Aviral Kumar
19
Balli, Faruk
18
Shogren, Jason F.
18
Weber, Martin
18
Bali, Turan G.
17
Epstein, Larry G.
17
Hammitt, James K.
17
Ji, Qiang
17
Menegatti, Mario
17
Salisu, Afees A.
17
Yin, Libo
17
Alghalith, Moawia
16
Quiggin, John C.
16
Schlesinger, Harris
16
Turvey, Calum Greig
16
Boonen, Tim J.
15
Broll, Udo
15
Dequech, David
15
Ma, Feng
15
Nguyen Phuc Canh
15
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Insurance / Mathematics & economics
8
Finance and stochastics
4
ASTIN bulletin : the journal of the International Actuarial Association
2
Mathematics of operations research
2
Scandinavian actuarial journal
2
Journal of mathematical economics
1
Mathematics and financial economics
1
Operations research letters
1
Quantitative finance
1
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ECONIS (ZBW)
22
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1
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10
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22
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1
Distributionally robust reinsurance with expectile
Xie, Xinqiao
;
Liu, Haiyan
;
Mao, Tiantian
;
Zhu, Xiao Bai
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
1
,
pp. 129-148
Persistent link: https://www.econbiz.de/10014247651
Saved in:
2
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:
3
Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory
Mao, Tiantian
;
Wang, Ruodu
- In:
Journal of mathematical economics
103
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014230385
Saved in:
4
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:
5
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:
6
Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
Saved in:
7
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:
8
Set-valued dynamic risk measures for processes and for vectors
Chen, Yanhong
;
Feinstein, Zachary
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 505-533
Persistent link: https://www.econbiz.de/10013440234
Saved in:
9
Set-valued risk measures as backward stochastic difference inclusions and equations
Ararat, Çağın
;
Feinstein, Zachary
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 43-76
Persistent link: https://www.econbiz.de/10012433511
Saved in:
10
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:
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