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~accessRights:"restricted"
~person:"Nguyen, Duc Khuong"
~person:"Pitera, Marcin"
~person:"Tan, Ken Seng"
~subject:"Risiko"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Search: subject:"Portfolio-Management"
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Nguyen, Duc Khuong
Pitera, Marcin
Tan, Ken Seng
Wang, Ruodu
14
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11
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9
Mao, Tiantian
8
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7
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6
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1
Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Pitera, Marcin
;
Stettner, Łukasz
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1287-1313
Persistent link: https://www.econbiz.de/10014370659
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2
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
3
An insurer's optimal strategy towards a new independent business
Chi, Yichun
;
Huang, Yuxia
;
Tan, Ken Seng
- In:
Scandinavian actuarial journal
2024
(
2024
)
1
,
pp. 89-107
Persistent link: https://www.econbiz.de/10014519973
Saved in:
4
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
5
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Saved in:
6
Optimal hedging with basis risk under mean-variance criterion
Zhang, Jingong
;
Tan, Ken Seng
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011740687
Saved in:
7
Long run risk sensitive portfolio with general factors
Pitera, Marcin
;
Stettner, Łukasz
- In:
Mathematical methods of operations research
83
(
2016
)
2
,
pp. 265-293
Persistent link: https://www.econbiz.de/10011673660
Saved in:
8
Do liquidity and idiosyncratic risk matter? : evidence from the European mutual fund market
Vidal-García, Javier
;
Vidal, Marta
;
Nguyen, Duc Khuong
- In:
Review of quantitative finance and accounting
47
(
2016
)
2
,
pp. 213-247
Persistent link: https://www.econbiz.de/10011595580
Saved in:
9
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:
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