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type_genre:"Case study"
type_genre:"Sammlung"
~person:"Bick, Björn"
~person:"Brandtner, Mario"
~subject:"Portfolio-Management"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Collection of articles written by one author"
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Portfolio-Management
Risikomaß
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13
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13
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12
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10
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9
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9
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9
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8
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6
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Bick, Björn
Brandtner, Mario
Fabozzi, Frank J.
45
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29
Escobar, Marcos
28
Li, Duan
25
Wang, Ruodu
25
Wong, Wing Keung
25
Zagst, Rudi
23
Jarrow, Robert A.
21
Markowitz, Harry
20
Prigent, Jean-Luc
20
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17
Forsyth, Peter A.
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Račev, Svetlozar T.
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Post, Thierry
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Platen, Eckhard
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Rosazza Gianin, Emanuela
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Yao, Haixiang
15
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14
Cvitanić, Jakša
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Kwon, Roy H.
14
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Siu, Tak Kuen
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13
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Sass, Jörn
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ECONIS (ZBW)
13
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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
Essays on continuous-time portfolio optimization and credit risk
Bick, Björn
-
2012
Persistent link: https://www.econbiz.de/10009546094
Saved in:
7
Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
European journal of operational research : EJOR
259
(
2017
)
1
,
pp. 394-399
Persistent link: https://www.econbiz.de/10011645033
Saved in:
8
Decision making under risk with spectral risk measures : concepts and applications in financial theory
Brandtner, Mario
-
2016
Persistent link: https://www.econbiz.de/10011525409
Saved in:
9
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
10
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:
1
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