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  • Search: subject:"Shortfall risk"
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Year of publication
Subject
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Portfolio-Management 46 Portfolio selection 44 shortfall risk 44 Risiko 37 Risk 35 Theorie 35 Theory 34 Deutschland 19 Germany 18 Risikomanagement 18 Risikomaß 18 Risk measure 18 Shortfall risk 17 Risk management 16 Rendite 15 Hedging 14 Yield 14 Messung 13 Measurement 12 Shortfall Risk 12 Immobilienfonds 10 Inflation 9 Inflation hedge 9 Real estate fund 9 Estimation 8 Großbritannien 7 Schweiz 7 Schätzung 7 Switzerland 7 United Kingdom 7 France 6 Frankreich 6 Financial investment 5 Kapitalanlage 5 Pension finance 5 Pension fund 5 Pensionskasse 5 Transaction costs 5 convex duality 5 1980-1998 4
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Online availability
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Undetermined 37 Free 21 CC license 1
Type of publication
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Article 51 Book / Working Paper 40
Type of publication (narrower categories)
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Article in journal 27 Aufsatz in Zeitschrift 27 Working Paper 24 Arbeitspapier 20 Graue Literatur 18 Non-commercial literature 18 Hochschulschrift 6 Thesis 6 Aufsatz im Buch 3 Book section 3 Article 1 Bibliografie enthalten 1 Bibliography included 1 research-article 1
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Language
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English 48 Undetermined 29 German 14
Author
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Maurer, Raimond 14 Signori, Ombretta 7 Albrecht, Peter 6 Sebastian, Steffen 6 Brière, Marie 5 Favero, Gino 5 Föllmer, Hans 4 Rudloff, Birgit 4 Farkas, Walter 3 Koch Medina, Pablo 3 Leukert, Peter 3 Munari, Cosimo 3 Reiner, Frank 3 Schlag, Christian 3 Schäfers, Wolfgang 3 Weber, Stefan 3 Wurstbauer, Daniel 3 Basak, Suleyman 2 Briere, Marie 2 Gabih, A. 2 Grecksch, W. 2 Ivanov, Roman V. 2 Klett, Timo 2 Maurer, Raimond H. 2 Nakano, Yumiharu 2 Post, Thomas 2 Richter, M. 2 Rogalla, Ralph 2 Ruckpaul, Ulla 2 Schacht, Ulrich 2 Schied, Alexander 2 Schmeiser, Hato 2 Shapiro, Alex 2 Teplá, Lucie 2 Trivellato, Barbara 2 Vargiolu, Tiziano 2 Wunderlich, R. 2 Xu, Huifu 2 Xu, Mingxin 2 Adam, Michael 1
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Institution
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Université Paris-Dauphine (Paris IX) 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 C.E.P.R. Discussion Papers 1 Center for Financial Studies 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 EconWPA 1 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1
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Published in...
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Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung 7 Computational Statistics 4 Mathematical Methods of Operations Research 4 Economics Papers from University Paris Dauphine 3 Finance and stochastics 3 International journal of theoretical and applied finance 3 Working paper series / Finance and accounting / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften 3 Applied Mathematical Finance 2 Europäische Hochschulschriften / 5 2 Finance and Stochastics 2 Journal of Property Investment & Finance 2 Mathematics and financial economics 2 Quantitative Finance 2 Research paper series / Swiss Finance Institute 2 SFB 373 Discussion Paper 2 SFB 373 Discussion Papers 2 Annals of Finance 1 Applied economics letters 1 Betriebswirtschaftliche Diskussionsbeiträge 1 CEPR Discussion Papers 1 CFS Working Paper 1 CFS Working Paper Series 1 CFS working paper series 1 Computational management science 1 Discussion paper 1 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 1 Diskussionsarbeit 1 Diskussionsbeitrag / Westfälische Wilhelms-Universität Münster, Institut für Kreditwesen 1 Equilibrium, markets and dynamics : essays in honour of Claus Weddepohl ; with 6 tables 1 European journal of operational research : EJOR 1 Finance 1 Finanzintermediation : theoretische, wirtschaftspolitische und praktische Aspekte aktueller Entwicklungen im Bank- und Börsenwesen : Festschrift für Professor Dr. Wolfgang Gerke zum sechzigsten Geburtstag 1 Handbuch Alternative Investments ; Bd. 1 1 Insurance / Mathematics & economics 1 International journal of financial engineering 1 Journal of derivatives and quantitative studies : Seonmul yeongu 1 Journal of property investment & finance 1 Kredit und Kapital 1 Management Science 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1
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Source
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ECONIS (ZBW) 56 RePEc 29 EconStor 5 Other ZBW resources 1
Showing 41 - 50 of 91
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Optimal portfolios with bounded downside risks
Emmer, Susanne (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001758100
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Money-back guarantees in individual pension accounts : evidence from the german pension reform
Maurer, Raimond; Schlag, Christian - 2002
Persistent link: https://www.econbiz.de/10001718827
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On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk
Albrecht, Peter; Maurer, Raimond; Ruckpaul, Ulla - 2001
Persistent link: https://www.econbiz.de/10015204301
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Benchmarkorientierte Portfolio-Strategien
Braun, Thomas; Reiß, Ariane - 2001
Persistent link: https://www.econbiz.de/10001682904
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Replication and shortfall risk in a binomial model with transaction costs
Trivellato, Barbara - In: Computational Statistics 69 (2009) 1, pp. 1-26
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-financing portfolio …
Persistent link: https://www.econbiz.de/10010847594
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Replication and shortfall risk in a binomial model with transaction costs
Trivellato, Barbara - In: Mathematical Methods of Operations Research 69 (2009) 1, pp. 1-26
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-financing portfolio …
Persistent link: https://www.econbiz.de/10010950023
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Coherent hedging in incomplete markets
Rudloff, Birgit - In: Quantitative Finance 9 (2009) 2, pp. 197-206
In incomplete financial markets, not every contingent claim can be perfectly replicated by a self-financing strategy. In this paper, we minimize the risk that the value of the hedging portfolio falls below the payoff of the claim at time T. We use a coherent risk measure, introduced by Artzner...
Persistent link: https://www.econbiz.de/10005279129
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Inflation risk analysis of European real estate securities
Maurer, Raimond; Sebastian, Steffen - 2000
Persistent link: https://www.econbiz.de/10015204317
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Efficient hedging: Cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - 1999
the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …-)hedge, depending on the accepted level of shortfall risk. …
Persistent link: https://www.econbiz.de/10010310016
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Efficient hedging: Cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - Sonderforschungsbereich 373, Quantifikation und … - 1999
the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …-)hedge, depending on the accepted level of shortfall risk. …
Persistent link: https://www.econbiz.de/10010983650
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