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type_genre:"Case study"
type_genre:"Sammlung"
~person:"Bick, Björn"
~person:"Brandtner, Mario"
~person:"Li, Zhongfei"
~subject:"Portfolio-Management"
~type_genre:"Article in journal"
~type_genre:"Collection of articles written by one author"
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Portfolio-Management
Theorie
35
Theory
35
Portfolio selection
24
Risikomaß
14
Risk measure
14
Risiko
11
Risikoaversion
10
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10
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10
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Expected utility
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Bick, Björn
Brandtner, Mario
Li, Zhongfei
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
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
Li, Xun
12
Liesiö, Juuso
12
Lo, Andrew W.
12
Maurer, Raimond
12
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Friedrich-Schiller-Universität Jena
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Insurance / Mathematics & economics
10
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3
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2
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2
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1
Mathematical methods of operations research
1
Operations research letters
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
24
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1
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
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
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:
4
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:
5
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:
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
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
Bian, Lihua
;
Li, Zhongfei
;
Yao, Haixiang
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 78-94
Persistent link: https://www.econbiz.de/10011904623
Saved in:
8
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
Saved in:
9
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Kang, Zhilin
;
Li, Zhongfei
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 169-195
Persistent link: https://www.econbiz.de/10011873984
Saved in:
10
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
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