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~person:"Nguyen, Duc Khuong"
~person:"Vanduffel, Steven"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"Portfolio-Theorie"
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44
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Nguyen, Duc Khuong
Vanduffel, Steven
Fabozzi, Frank J.
80
Wong, Wing Keung
47
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37
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33
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33
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33
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31
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23
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23
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22
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22
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21
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20
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44
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1
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
2
On the role of commodity futures in portfolio diversification
Hooi Hooi Lean
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
; …
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2374-2394
Persistent link: https://www.econbiz.de/10014259167
Saved in:
3
Robust distortion risk measures
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
4
Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Malek, Jiri
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
;
Quang …
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10014472966
Saved in:
5
Optimal multivariate financial decision making
Bernard, Carole
;
De Gennaro Aquino, Luca
;
Vanduffel, Steven
- In:
European journal of operational research : EJOR
307
(
2023
)
1
,
pp. 468-483
Persistent link: https://www.econbiz.de/10014293036
Saved in:
6
Statistical arbitrage : factor investing approach
Akyildirim, Erdinc
;
Goncu, Ahmet
;
Hekimoglu, Alper
; …
- In:
OR spectrum : quantitative approaches in management
45
(
2023
)
4
,
pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
Saved in:
7
The optimal payoff for a Yaari investor
Boudt, Kris
;
Dragun, K.
;
Vanduffel, Steven
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1839-1852
Persistent link: https://www.econbiz.de/10013367950
Saved in:
8
When do two- or three-fund separation theorems hold?
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1869-1883
Persistent link: https://www.econbiz.de/10012696788
Saved in:
9
On the construction of optimal payoffs
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
Decisions in economics and finance : a journal of …
43
(
2020
)
1
,
pp. 129-153
Persistent link: https://www.econbiz.de/10012285394
Saved in:
10
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
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