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type_genre:"Article in journal"
~person:"Bellini, Fabio"
~person:"Tang, Qihe"
~person:"Xu, Huifu"
~subject:"Expected utility"
~subject:"Portfolio selection"
~type_genre:"Reprint"
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Bellini, Fabio
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14
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ECONIS (ZBW)
17
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1
Preference robust distortion risk measure and its application
Wang, Wei
;
Xu, Huifu
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 389-434
Persistent link: https://www.econbiz.de/10014278678
Saved in:
2
Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
Wang, Wei
;
Xu, Huifu
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-51
Persistent link: https://www.econbiz.de/10014393426
Saved in:
3
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
Saved in:
4
Insurance premium-based shortfall risk measure induced by cumulative prospect theory
Zhang, Sainan
;
Xu, Huifu
- In:
Computational management science
19
(
2022
)
4
,
pp. 703-738
Persistent link: https://www.econbiz.de/10013447511
Saved in:
5
Shortfall risk models when information on loss function is incomplete
Delage, Erick
;
Guo, Shaoyan
;
Xu, Huifu
- In:
Operations research
70
(
2022
)
6
,
pp. 3511-3518
Persistent link: https://www.econbiz.de/10014307925
Saved in:
6
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
7
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:
8
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:
9
Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
Saved in:
10
Sharp asymptotics for large portfolio losses under extreme risks
Tang, Qihe
;
Tang, Zhaofeng
;
Yang, Yang
- In:
European journal of operational research : EJOR
276
(
2019
)
2
,
pp. 710-722
Persistent link: https://www.econbiz.de/10012003644
Saved in:
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