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~accessRights:"restricted"
~person:"Kim, Jang Ho"
~person:"Wang, Ruodu"
~subject:"Portfolio selection"
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Portfolio selection
Theorie
37
Theory
37
Portfolio-Management
25
Risikomaß
22
Risk measure
22
Risiko
21
Risk
21
Risikomanagement
14
Risk management
14
Measurement
13
Messung
13
Value-at-Risk
7
Mathematical programming
6
Mathematische Optimierung
6
Statistical distribution
6
Statistische Verteilung
6
Basel Accord
5
Basler Akkord
5
Risk aggregation
5
Robust statistics
5
Robustes Verfahren
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expected shortfall
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Aggregation
4
Expected Shortfall
4
risk aggregation
4
Dependence uncertainty
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Pareto optimality
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robustness
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value-at-risk
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Bank risk
2
Bankrisiko
2
Basel III
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CAPM
2
Decision under risk
2
Decision under uncertainty
2
Entscheidung unter Risiko
2
Entscheidung unter Unsicherheit
2
Erwartungsnutzen
2
Estimation
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25
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English
25
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Kim, Jang Ho
Wang, Ruodu
Escobar, Marcos
22
Fabozzi, Frank J.
22
Forsyth, Peter A.
14
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Uppal, Raman
13
Kwon, Roy H.
12
Lee, Cheng F.
12
Liang, Zongxia
12
Vanduffel, Steven
12
Yao, Haixiang
12
Zagst, Rudi
12
Bernard, Carole
11
Chen, Zhiping
11
Cui, Xiangyu
11
Kim, Woo Chang
11
Ledoit, Olivier
11
Li, Duan
11
Righi, Marcelo Brutti
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Wolf, Michael
11
Auer, Benjamin R.
10
Capponi, Agostino
10
Chen, An
10
Dai, Min
10
Muhle-Karbe, Johannes
10
Wong, Hoi Ying
10
Dai, Zhifeng
9
Guan, Guohui
9
Jang, Bong-Gyu
9
Li, Zhongfei
9
Platanakis, Emmanouil
9
Post, Thierry
9
De Nard, Gianluca
8
Li, Bin
8
Li, Danping
8
Li, Xun
8
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Insurance / Mathematics & economics
4
Operations research
3
Finance and stochastics
2
Finance research letters
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Quantitative finance
2
Analytical models for financial modeling and risk management
1
Journal of banking & finance
1
Journal of econometrics
1
Journal of the Operational Research Society
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematics of operations research
1
North American actuarial journal
1
Operations research letters
1
Risk management decisions and value under uncertainty
1
The journal of portfolio management : JPM
1
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ECONIS (ZBW)
25
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1
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
2
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
Saved in:
3
CreditRisk+ model with dependent risk factors
Wang, Ruodu
;
Peng, Liang
;
Yang, Jingping
- In:
North American actuarial journal
19
(
2015
)
1
,
pp. 24-40
Persistent link: https://www.econbiz.de/10011420714
Saved in:
4
Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
- In:
Operations research letters
44
(
2016
)
4
,
pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
Saved in:
5
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
6
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
7
Mean-variance optimization for asset allocation
Kim, Jang Ho
;
Lee, Yongjae
;
Kim, Woo Chang
;
Fabozzi, …
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
Saved in:
8
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
9
Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011969153
Saved in:
10
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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