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Correlation structure forecating & ex ante portfolio selection strategies in the Japan market
Ho, Richard Yan-ki - In: Financial engineering and the Japanese markets 2 (1995) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10001189445
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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
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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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
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Risk measures based on behavioural economics theory
Mao, Tiantian; Cai, Jun - In: Finance and stochastics 22 (2018) 2, pp. 367-393
Persistent link: https://www.econbiz.de/10011945793
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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
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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
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Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
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Portfolio selection : from under-diversification to concentration
Xu, Jiawen; Li, Yixuan; Liu, Kai; Chen, Tao - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1539-1557
Persistent link: https://www.econbiz.de/10014253700
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Multi-objective private wealth allocation without subportfolios
Cai, Jun; Ge, Chenliang - In: Economic modelling 29 (2012) 3, pp. 900-907
Persistent link: https://www.econbiz.de/10009545496