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~person:"Kerstens, Kristiaan"
~person:"Zeng, Yan"
~subject:"Portfolio selection"
~subject:"risk aversion"
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Portfolio selection
risk aversion
Portfolio-Management
12
shortage function
10
Theorie
9
Theory
9
efficient frontier
9
Mean-variance criterion
5
Reinsurance
5
Rückversicherung
5
Dynamic programming
4
Efficient frontier
4
Shortage function
4
Stochastic process
4
Stochastischer Prozess
4
Uncertain time-horizon
4
mean-variance
4
Analysis
3
Mathematical analysis
3
PGP
3
mean-variance-skewness
3
mean-variance-skewness efficiency
3
Altersvorsorge
2
Backward stochastic differential equation
2
DEA
2
Dynamische Optimierung
2
Equilibrium strategy
2
FDH
2
Insurer
2
Investment and reinsurance
2
Investment-reinsurance
2
Luenberger portfolio productivity indicator
2
Mathematical programming
2
Mathematische Optimierung
2
Mean-variance portfolio frontier
2
Mean–variance criterion
2
Multi-period mean-variance model
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Multi-period mean–variance model
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Mutual fund rating
2
Option pricing theory
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12
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12
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English
13
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3
Author
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Kerstens, Kristiaan
Zeng, Yan
Yao, Haixiang
12
Cui, Xiangyu
11
Fabozzi, Frank J.
10
Li, Xun
10
Forsyth, Peter A.
9
Li, Danping
9
Li, Duan
9
Wong, Hoi Ying
9
Wong, Wing Keung
9
Chen, Ping
7
Leung, Tim
7
Shen, Yang
7
Levy, Haim
6
Shalit, Haim
6
Vigna, Elena
6
Yam, Sheung Chi Phillip
6
Bi, Junna
5
Fletcher, Jonathan
5
Fu, Guanxing
5
Gao, Jianjun
5
Kim, Woo Chang
5
Levy, Moshe
5
Li, Bin
5
Shi, Yun
5
Young, Virginia R.
5
Zhang, Wei-guo
5
Chen, Shumin
4
Guo, Xu
4
Hens, Thorsten
4
Hlouskova, Jaroslava
4
Huang, Xiaoxia
4
Jin, Hanqing
4
Koumou, Gilles Boevi
4
Ledoit, Olivier
4
Li, Zhongfei
4
Liang, Zhibin
4
Liang, Zongxia
4
Mayer, János
4
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Departament d'Empresa, Facultat d'Economia i Empresa
1
IÉSEG School of Management, Université Catholique de Lille
1
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Insurance / Mathematics & economics
8
Economic modelling
2
Astin bulletin : the journal of the International Actuarial Association
1
Economic Modelling
1
European journal of operational research : EJOR
1
Management Science
1
Working Paper / Departament d'Empresa, Facultat d'Economia i Empresa
1
Working Papers / IÉSEG School of Management, Université Catholique de Lille
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ECONIS (ZBW)
12
RePEc
4
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1
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a
mean
-variance insurer with ambiguity aversion
Zhao, Hui
;
Shen, Yang
;
Zeng, Yan
;
Zhang, WenJun
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
Saved in:
2
Dynamic derivative-based investment strategy for
mean
-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
3
Stochastic differential games between two insurers with generalized
mean
-variance premium principle
Chen, Shumin
;
Yang, Hailiang
;
Zeng, Yan
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 413-434
Persistent link: https://www.econbiz.de/10011875615
Saved in:
4
Robust equilibrium reinsurance-investment strategy for a
mean
-variance insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
5
Optimal investment and reinsurance strategies for insurers with generalized
mean
-variance premium principle and no-short selling
Zhang, Xin
;
Meng, Hui
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 125-132
Persistent link: https://www.econbiz.de/10011457200
Saved in:
6
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Sun, Jingyun
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 158-172
Persistent link: https://www.econbiz.de/10011457232
Saved in:
7
Equilibrium investment strategy for defined-contribution pension schemes with generalized
mean
-variance criterion and mortality risk
Wu, Huiling
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 396-408
Persistent link: https://www.econbiz.de/10011398120
Saved in:
8
Optimal investment-reinsurance strategy for
mean
-variance insurers with square-root factor process
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 118-137
Persistent link: https://www.econbiz.de/10011312080
Saved in:
9
Frontier-based vs. traditional mutual fund ratings : a first backtesting analysis
Brandouy, Olivier
;
Kerstens, Kristiaan
;
Van de …
- In:
European journal of operational research : EJOR
242
(
2015
)
1
,
pp. 332-342
Persistent link: https://www.econbiz.de/10010488000
Saved in:
10
Multi-period Markowitz's
mean
–variance portfolio selection with state-dependent exit probability
Wu, Huiling
;
Zeng, Yan
;
Yao, Haixiang
- In:
Economic Modelling
36
(
2014
)
C
,
pp. 69-78
This paper considers a multi-period
mean
–variance portfolio selection problem with uncertain time-horizon in a regime …
Persistent link: https://www.econbiz.de/10010729812
Saved in:
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