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~language:"eng"
~subject:"Risikomaß"
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Risikomaß
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Portfolio selection
58
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Wang, Ruodu
3
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Embrechts, Paul
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Liu, Guangwu
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Atamtürk, Alper
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Operations research
Insurance / Mathematics & economics
146
Journal of banking & finance
110
European journal of operational research : EJOR
87
Risks : open access journal
82
Finance research letters
73
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70
Economic modelling
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Discussion paper / Tinbergen Institute
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of theoretical and applied finance
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Scandinavian actuarial journal
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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1
Systemic risk-driven portfolio selection
Capponi, Agostino
;
Rubtsov, Alexey
- In:
Operations research
70
(
2022
)
3
,
pp. 1598-1612
Persistent link: https://www.econbiz.de/10013366163
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2
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:
3
Risk in large claims insurance market with bipartite graph structure
Kley, Oliver
;
Klüppelberg, Claudia
;
Reinert, Gesine
- In:
Operations research
64
(
2016
)
5
,
pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
Saved in:
4
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
5
Production planning with risk hedging under a conditional value at risk objective
Wang, Liao
;
Yao, David D.
- In:
Operations research
71
(
2023
)
4
,
pp. 1055-1072
Persistent link: https://www.econbiz.de/10014338036
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6
On the measurement of economic tail risk
Kou, Steven
;
Peng, Xianhua
- In:
Operations research
64
(
2016
)
5
,
pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
Saved in:
7
Using experts' noisy quantile judgments to quantify risks : theory and application to agribusiness
Bansal, Saurabh
;
Gutierrez, Genaro J.
;
Keiser, John R.
- In:
Operations research
65
(
2017
)
5
,
pp. 1115-1130
Persistent link: https://www.econbiz.de/10011757251
Saved in:
8
Efficient simulation of value at risk with heavy-tailed risk factors
Fuh, Cheng-der
;
Hu, Inchi
;
Hsu, Ya-hui
;
Wang, Ren-her
- In:
Operations research
59
(
2011
)
6
,
pp. 1395-1406
Persistent link: https://www.econbiz.de/10009487167
Saved in:
9
Simulating risk contributions of credit portfolios
Liu, Guangwu
- In:
Operations research
63
(
2015
)
1
,
pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
Saved in:
10
Robustness to dependency in portfolio optimization using overlapping marginals
Doan, Xuan Vinh
;
Li, Xiaobo
;
Natarajan, Karthik
- In:
Operations research
63
(
2015
)
6
,
pp. 1468-1488
Persistent link: https://www.econbiz.de/10011422605
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