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subject:"Portfolio-Management"
~person:"Feinstein, Zachary"
~person:"Mao, Tiantian"
~subject:"Prospect theory"
~subject:"Risikomaß"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Fallstudie"
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Portfolio-Management
Prospect theory
Risikomaß
Risiko
22
Risk
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
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
Dynamic risk measures
2
Estimation theory
2
Expectile
2
Kapitaleinkommen
2
Multivariate Analyse
2
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2
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20
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Aufsatz in Zeitschrift
Fallstudie
Article in journal
20
Arbeitspapier
1
Graue Literatur
1
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1
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English
20
Author
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Feinstein, Zachary
Mao, Tiantian
Wang, Ruodu
19
Righi, Marcelo Brutti
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
Bäuerle, Nicole
6
Chen, Zhiping
6
Chiang, Thomas C.
6
Jarrow, Robert A.
6
Kountzakis, Christos E.
6
Liu, Haiyan
6
Luo, Yulei
6
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Insurance / Mathematics & economics
7
Finance and stochastics
4
Mathematics of operations research
2
Scandinavian actuarial journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Journal of mathematical economics
1
Mathematics and financial economics
1
Operations research letters
1
Quantitative finance
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ECONIS (ZBW)
20
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1
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20
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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
A machine learning efficient frontier
Clark, Brian
;
Feinstein, Zachary
;
Simaan, Majeed
- In:
Operations research letters
48
(
2020
)
5
,
pp. 630-634
Persistent link: https://www.econbiz.de/10012303428
Saved in:
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