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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
Landsman, Zinoviy; Makov, Udi - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 94-98
Persistent link: https://www.econbiz.de/10009501696
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A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
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Conditional tail risk measures for the skewed generalised hyperbolic family
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 86 (2019), pp. 98-114
Persistent link: https://www.econbiz.de/10012058838
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A characterization of optimal portfolios under the tail mean-variance criterion
Owadally, Iqbal; Landsman, Zinoviy - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 213-221
Persistent link: https://www.econbiz.de/10009736114