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~person:"Brandtner, Mario"
~person:"Herings, Peter Jean-Jacques"
~source:"econis"
~subject:"Messung"
~type:"article"
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Brandtner, Mario
Herings, Peter Jean-Jacques
Wang, Ruodu
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ECONIS (ZBW)
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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
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:
3
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:
4
"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:
5
Risk allocation under liquidity constraints
Csóka, Péter
;
Herings, Peter Jean-Jacques
- In:
Journal of banking & finance
49
(
2014
),
pp. 1-9
Persistent link: https://www.econbiz.de/10010508104
Saved in:
6
Coherent measures of risk from a general equilibrium perspective
Csóka, Péter
;
Herings, Peter Jean-Jacques
;
Kóczy, …
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2517-2534
Persistent link: https://www.econbiz.de/10003522971
Saved in:
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