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subject:"USA"
~accessRights:"restricted"
~person:"Brandtner, Mario"
~subject:"Theory"
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Brandtner, Mario
Gupta, Rangan
35
Wang, Ruodu
21
Righi, Marcelo Brutti
14
Denuit, Michel
13
Eeckhoudt, Louis R.
12
Kelly, Bryan T.
12
Boonen, Tim J.
11
Gollier, Christian
10
Furman, Edward
9
Goerigk, Marc
9
Krueger, Dirk
9
Wong, Wing Keung
9
Caliendo, Frank
8
Ghossoub, Mario
8
Lustig, Hanno
8
Yang, Jinqiang
8
Balcilar, Mehmet
7
Escudero, Laureano F.
7
Guvenen, Fatih
7
Huang, Xiaoxia
7
Laeven, Roger J. A.
7
Liu, Haiyan
7
Liu, Yang
7
Mao, Tiantian
7
Marcellino, Massimiliano
7
Menegatti, Mario
7
Müller, Fernanda Maria
7
Nieuwerburgh, Stijn van
7
Pistaferri, Luigi
7
Rosazza Gianin, Emanuela
7
Wohar, Mark E.
7
Zou, Zhentao
7
Bouri, Elie
6
Cai, Jun
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2
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Quantitative finance
1
Scandinavian actuarial journal
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Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
2
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
3
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
4
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
5
Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
264
(
2018
)
2
,
pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
Saved in:
6
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
7
Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Journal of banking & finance
58
(
2015
),
pp. 268-280
Persistent link: https://www.econbiz.de/10011544006
Saved in:
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