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type_genre:"Article in journal"
~person:"Bellini, Fabio"
~person:"Brandtner, Mario"
~subject:"Expected Shortfall"
~subject:"Portfolio selection"
~type_genre:"Reprint"
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Expected Shortfall
Portfolio selection
Risiko
17
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17
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16
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15
Messung
15
Theorie
15
Theory
15
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11
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Bellini, Fabio
Brandtner, Mario
Wang, Ruodu
16
Righi, Marcelo Brutti
13
Huang, Xiaoxia
12
Wong, Wing Keung
12
Gollier, Christian
11
Eeckhoudt, Louis R.
10
Mao, Tiantian
10
Rosazza Gianin, Emanuela
10
Fabozzi, Frank J.
9
Müller, Fernanda Maria
9
Kakushadze, Zura
8
Rüschendorf, Ludger
8
Satchell, Stephen
8
Bali, Turan G.
7
Furman, Edward
7
Vanduffel, Steven
7
Cai, Jun
6
Guillén, Montserrat
6
Liu, Haiyan
6
Luo, Yulei
6
Rösch, Daniel
6
Tang, Qihe
6
Wagner, Niklas F.
6
Yu, Willie
6
Zaremba, Adam
6
Branger, Nicole
5
Chen, An
5
Chen, Zhiping
5
Denuit, Michel
5
Hammoudeh, Shawkat
5
Jarrow, Robert A.
5
Kürsten, Wolfgang
5
Laeven, Roger J. A.
5
Landsman, Zinoviy
5
Maurer, Raimond
5
Siu, Tak Kuen
5
Su, Jianxi
5
Tavakoli Baghdadabad, Mohammad Reza
5
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Journal of banking & finance
4
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3
Insurance / Mathematics & economics
2
Mathematics and financial economics
1
Quantitative finance
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
12
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1
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:
2
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:
3
Risk parity with expectiles
Bellini, Fabio
;
Cesarone, Francesco
;
Colombo, Christian
; …
- In:
European journal of operational research : EJOR
291
(
2021
)
3
,
pp. 1149-1163
Persistent link: https://www.econbiz.de/10012495399
Saved in:
4
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:
5
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:
6
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:
7
Robust return risk measures
Bellini, Fabio
;
Laeven, Roger J. A.
;
Rosazza Gianin, …
- In:
Mathematics and financial economics
12
(
2018
)
1
,
pp. 5-32
Persistent link: https://www.econbiz.de/10011963258
Saved in:
8
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:
9
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:
10
Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis
Brandtner, Mario
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 5526-5537
Persistent link: https://www.econbiz.de/10010343658
Saved in:
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