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type_genre:"Case study"
type_genre:"Sammlung"
~person:"Bick, Björn"
~person:"Brandtner, Mario"
~person:"Li, Xun"
~subject:"Portfolio-Management"
~type_genre:"Article in journal"
~type_genre:"Collection of articles written by one author"
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Portfolio-Management
Theorie
33
Theory
33
Portfolio selection
21
Risikomaß
12
Risk measure
12
Risiko
10
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9
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9
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8
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6
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6
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6
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6
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5
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3
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Bick, Björn
Brandtner, Mario
Li, Xun
Fabozzi, Frank J.
41
Korn, Ralf
29
Escobar, Marcos
26
Li, Duan
25
Wong, Wing Keung
25
Zagst, Rudi
21
Markowitz, Harry
20
Prigent, Jean-Luc
20
Forsyth, Peter A.
18
Wang, Ruodu
18
Post, Thierry
17
Wong, Hoi Ying
17
Gollier, Christian
16
Liang, Zongxia
16
Chen, Zhiping
15
Jarrow, Robert A.
15
Levy, Haim
15
Li, Zhongfei
15
Lioui, Abraham
15
Platen, Eckhard
15
Vanduffel, Steven
15
Yao, Haixiang
15
Cui, Xiangyu
14
Cvitanić, Jakša
14
Rüschendorf, Ludger
14
Siu, Tak Kuen
14
Koo, Hyeng-keun
13
Kwon, Roy H.
13
Sass, Jörn
13
Zeng, Yan
13
Zhou, Guofu
13
Bernard, Carole
12
Dai, Min
12
Guerard, John Baynard
12
Kim, Woo Chang
12
Kraft, Holger
12
Liesiö, Juuso
12
Lo, Andrew W.
12
Maurer, Raimond
12
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Friedrich-Schiller-Universität Jena
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European journal of operational research : EJOR
4
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2
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2
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1
International journal of theoretical and applied finance
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ECONIS (ZBW)
21
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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
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Cui, Xiangyu
;
Li, Xun
;
Yang, Lanzhi
- In:
Operations research letters
48
(
2020
)
6
,
pp. 693-696
Persistent link: https://www.econbiz.de/10012430065
Saved in:
5
Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach
Li, Xun
;
Wu, Xianping
;
Yao, Haixiang
- In:
Journal of the Operational Research Society
71
(
2020
)
10
,
pp. 1563-1580
Persistent link: https://www.econbiz.de/10012314367
Saved in:
6
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
7
A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Cui, Xiangyu
;
Li, Xun
;
Wu, Xianping
;
Yi, Lan
- In:
Journal of the Operational Research Society
69
(
2018
)
4
,
pp. 487-499
Persistent link: https://www.econbiz.de/10012225172
Saved in:
8
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:
9
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:
10
Essays on continuous-time portfolio optimization and credit risk
Bick, Björn
-
2012
Persistent link: https://www.econbiz.de/10009546094
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