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Tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof S.; Hertog, Dirk den; Melenberg, Bertrand - 2014
Persistent link: https://www.econbiz.de/10011282869
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Computationally tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof Stanisław; Hertog, Dirk den; … - 2015 - Revised version of CentER Discussion Paper No. 2014-031
Persistent link: https://www.econbiz.de/10011348902
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Longevity risk and natural hedge potential in portfolios of life insurance products : the effect of investment risk
Stevens, Ralph; De Waegenaere, Anja; Melenberg, Bertrand - 2011
Persistent link: https://www.econbiz.de/10008988371
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Testing for mean-coherent regular risk spanning
Melenberg, Bertrand (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003096956
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Mean-coherent risk and mean-variance approaches in portfolio selection : an empirical comparison
Polbennikov, Simon (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003096971