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~subject:"Messung"
~subject:"Risk measure"
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Messung
Risk measure
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Risikomaß
53
Theorie
41
Theory
41
Risiko
26
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26
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25
Portfolio selection
22
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22
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Rosazza Gianin, Emanuela
4
Munari, Cosimo-Andrea
3
Rudloff, Birgit
3
Shapiro, Alexander
3
Assa, Hirbod
2
Hamel, Andreas
2
Koch Medina, Pablo
2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Bhat, Sanjay P.
1
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1
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1
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1
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1
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1
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1
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Mathematics and financial economics
Operations research letters
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
111
Finance research letters
107
Risks : open access journal
106
International review of financial analysis
74
Economic modelling
71
Energy economics
71
The North American journal of economics and finance : a journal of financial economics studies
67
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
63
International journal of forecasting
59
Journal of empirical finance
55
Quantitative finance
54
Applied economics
53
Journal of risk and financial management : JRFM
52
Journal of risk management in financial institutions
47
The journal of operational risk
47
International journal of theoretical and applied finance
46
Journal of forecasting
42
Journal of econometrics
41
Computational economics
40
International review of economics & finance : IREF
40
The European journal of finance
38
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Journal of international financial markets, institutions & money
33
Applied economics letters
32
Working papers
32
Scandinavian actuarial journal
31
Finance and stochastics
30
Pacific-Basin finance journal
30
Econometric Institute research papers
29
Working paper
29
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
53
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1
An elementary proof of the dual representation of expected shortfall
Herdegen, Martin
;
Munari, Cosimo-Andrea
- In:
Mathematics and financial economics
17
(
2023
)
4
,
pp. 655-662
Persistent link: https://www.econbiz.de/10014448070
Saved in:
2
Non-concave portfolio optimization with average
value-at-risk
Zhang, Fangyuan
- In:
Mathematics and financial economics
17
(
2023
)
2
,
pp. 203-237
Persistent link: https://www.econbiz.de/10014328920
Saved in:
3
On approximations of data-driven chance constrained programs over Wasserstein balls
Chen, Zhi
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Operations research letters
51
(
2023
)
3
,
pp. 226-233
Persistent link: https://www.econbiz.de/10014374834
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4
Almost exact risk budgeting with return forecasts for portfolio allocation
Bhardwaj, Avinash
;
Hanawal, Manjesh K.
;
Parthasarathy, …
- In:
Operations research letters
51
(
2023
)
2
,
pp. 171-175
Persistent link: https://www.econbiz.de/10014311844
Saved in:
5
Hedging-based utility risk measure customized for individual investors
Dong, Linjia
;
Yang, Zhaojun
- In:
Operations research letters
50
(
2022
)
5
,
pp. 509-512
Persistent link: https://www.econbiz.de/10013449436
Saved in:
6
Star-Shaped deviations
Righi, Marcelo Brutti
;
Moresco, Marlon Ruoso
- In:
Operations research letters
50
(
2022
)
5
,
pp. 548-554
Persistent link: https://www.econbiz.de/10013449444
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7
A revised approach for risk-averse multi-armed bandits under CVaR criterion
Najakorn Khajonchotpanya
;
Xue, Yilin
;
Rujeerapaiboon, Napat
- In:
Operations research letters
49
(
2021
)
4
,
pp. 465-472
Persistent link: https://www.econbiz.de/10012649007
Saved in:
8
Socially responsible merchant operations : comparison of shutdown-averse CVaR and anticipated regret policies
Trivella, Alessio
;
Nadarajah, Selvaprabu
- In:
Operations research letters
49
(
2021
)
4
,
pp. 553-558
Persistent link: https://www.econbiz.de/10012649036
Saved in:
9
Dual representations for systemic risk measures based on acceptance sets
Arduca, Maria
;
Koch Medina, Pablo
;
Munari, Cosimo-Andrea
- In:
Mathematics and financial economics
15
(
2021
)
1
,
pp. 155-184
Persistent link: https://www.econbiz.de/10012433636
Saved in:
10
Risk management with expected shortfall
Wei, Pengyu
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 847-883
Persistent link: https://www.econbiz.de/10012616860
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