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Multi-objective private wealth allocation without subportfolios

Cai, Jun; Ge, Chenliang - In: Economic Modelling 29 (2012) 3, pp. 900-907

As opposed to institutional investors, individual investors typically have several investment objectives in mind. The traditional utility maximization approach is not only oversimplified but also may not be suitable for real world application. Behavioral asset allocation divides a portfolio into...

Persistent link: https://www.econbiz.de/10010573378

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116

Persistent link: https://www.econbiz.de/10011740761

Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure

Cai, Jun; Wang, Ying - In: Insurance / Mathematics & economics 100 (2021), pp. 329-349

Persistent link: https://www.econbiz.de/10012622397

A multivariate CVaR risk measure from the perspective of portfolio risk management

Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215

Persistent link: https://www.econbiz.de/10013370495

Optimal reinsurance with positively dependent risks

Cai, Jun; Wei, Wei - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 57-63

Persistent link: https://www.econbiz.de/10009501700

Optimal reinsurance with regulatory initial capital and default risk

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24

Persistent link: https://www.econbiz.de/10010402747

Oil stocks, risk factors, and tail behavior

Lian, Ziying; Cai, Jun; Webb, Robert I. - In: Energy economics 91 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012518738

Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

Cai, Jun; Mao, Tiantian - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1065-1092

Persistent link: https://www.econbiz.de/10012307399

Optimal reinsurance from the perspectives of both an insurer and a reinsurer

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 815-849

Persistent link: https://www.econbiz.de/10011670010

Bank stocks, risk factors, and tail behavior

Yang, Huan; Cai, Jun; Huang, Lin; Marcus, Alan J. - In: Journal of empirical finance 63 (2021), pp. 203-229

Persistent link: https://www.econbiz.de/10013259284