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~isPartOf:"Operations research letters"
~subject:"Messung"
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Search: subject:"Value at Risk"
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Messung
Statistical distribution
Risikomaß
53
Risk measure
53
Theorie
41
Theory
41
Risiko
26
Risk
26
Measurement
25
Portfolio selection
22
Portfolio-Management
22
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14
Risk management
14
Conditional value-at-risk
7
Mathematical programming
7
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7
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6
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Entscheidung unter Risiko
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Multivariate Analyse
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28
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Rosazza Gianin, Emanuela
3
Assa, Hirbod
2
Koch Medina, Pablo
2
Munari, Cosimo-Andrea
2
Rudloff, Birgit
2
Shapiro, Alexander
2
Anderson, W.
1
Ararat, Çağın
1
Arduca, Maria
1
Backhoff-Veraguas, Julio
1
Balbás de la Corte, Alejandro
1
Balbás, Beatriz
1
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1
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1
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1
Canna, Gabriele
1
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1
Chen, Yanhong
1
Chen, Zhi
1
Dong, Linjia
1
Eberlein, Ernst
1
Eling, Martin
1
Farkas, Walter
1
Frittelli, Marco
1
Hamel, Andreas
1
Hamm, A.-M.
1
Heyde, Frank
1
Hoffmann, Hannes
1
Hu, Yijun
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
Kuhn, Daniel
1
Kumar, Arun
1
Kwon, Roy H.
1
Laeven, Roger J. A.
1
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1
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Mathematics and financial economics
Operations research letters
Insurance / Mathematics & economics
148
Journal of banking & finance
46
Risks : open access journal
46
Journal of risk
39
European journal of operational research : EJOR
38
The journal of operational risk
26
International journal of forecasting
25
Quantitative finance
25
Discussion paper / Tinbergen Institute
24
Finance research letters
24
The journal of risk model validation
22
International review of financial analysis
21
Applied economics
20
Economic modelling
19
Mathematics of operations research
19
Finance and stochastics
18
Journal of financial econometrics
18
International journal of theoretical and applied finance
17
Journal of econometrics
17
Scandinavian actuarial journal
17
Journal of empirical finance
16
Computational economics
15
Journal of risk and financial management : JRFM
14
Research paper series / Swiss Finance Institute
14
Astin bulletin : the journal of the International Actuarial Association
13
International review of economics & finance : IREF
13
Journal of forecasting
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
The European journal of finance
12
The North American journal of economics and finance : a journal of financial economics studies
12
Applied economics letters
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
SFB 649 discussion paper
11
Swiss Finance Institute Research Paper
11
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Working papers
10
ASTIN bulletin : the journal of the International Actuarial Association
9
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ECONIS (ZBW)
28
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1
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
Saved in:
2
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:
3
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
Saved in:
4
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:
5
Preferences over rich sets of random variables : on the incompatibility of convexity and semicontinuity in measure
Zimper, Alexander
;
Assa, Hirbod
- In:
Mathematics and financial economics
15
(
2021
)
2
,
pp. 353-380
Persistent link: https://www.econbiz.de/10012500030
Saved in:
6
Fractional risk process in insurance
Kumar, Arun
;
Leonenko, Nikolaj
;
Pichler, Alois
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 43-65
Persistent link: https://www.econbiz.de/10012239969
Saved in:
7
Dual representations for systemic risk measures
Ararat, Çağın
;
Rudloff, Birgit
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
Saved in:
8
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio
;
Tangpi, Ludovic
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
Saved in:
9
Capital allocation rules and acceptance sets
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 759-781
Persistent link: https://www.econbiz.de/10012321876
Saved in:
10
Concentration bounds for empirical conditional
value-at-risk
: the unbounded case
Kolla, Ravi Kumar
;
Prashanth L. A.
;
Bhat, Sanjay P.
; …
- In:
Operations research letters
47
(
2019
)
1
,
pp. 16-20
Persistent link: https://www.econbiz.de/10011991314
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