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type_genre:"Article in journal"
~person:"Brandtner, Mario"
~person:"Epstein, Larry G."
~person:"Hammoudeh, Shawkat"
~subject:"Portfolio-Management"
~type_genre:"Arbeitspapier"
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Portfolio-Management
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15
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Brandtner, Mario
Epstein, Larry G.
Hammoudeh, Shawkat
Gollier, Christian
17
Wang, Ruodu
16
Maurer, Raimond
13
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13
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9
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9
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9
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8
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8
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7
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6
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6
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ECONIS (ZBW)
15
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1
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
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:
5
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:
6
Financial tail risks in conventional and Islamic stock markets : a comparative analysis
Muteba Mwamba, John
;
Hammoudeh, Shawkat
;
Gupta, Rangan
- In:
Pacific-Basin finance journal
42
(
2017
),
pp. 60-82
Persistent link: https://www.econbiz.de/10011800542
Saved in:
7
Risk spillovers and portfolio management between developed and BRICS stock markets
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
41
(
2017
),
pp. 133-155
Persistent link: https://www.econbiz.de/10011878945
Saved in:
8
Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
Hernandez, Jose Arreola
;
Janabi, Mazin A. M. al
; …
- In:
The journal of asset management
16
(
2015
)
7
,
pp. 467-483
Persistent link: https://www.econbiz.de/10011455734
Saved in:
9
Downside risk, portfolio diversification and the financial crisis in the euro-zone
Sarafrazi, Soodabeh
;
Hammoudeh, Shawkat
;
Santos, Paulo …
- In:
Journal of international financial markets, …
32
(
2014
),
pp. 368-396
Persistent link: https://www.econbiz.de/10011299784
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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