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~subject:"Portfolio selection"
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Portfolio selection
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De Waegenaere, Anja
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Norde, Henk
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Discussion paper / Center for Economic Research, Tilburg University
4
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De economist : Netherlands economic review ; quarterly review of the Royal Netherlands Economic Association
1
European journal of operational research : EJOR
1
The journal of asset management
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ECONIS (ZBW)
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1
Equilibria in incomplete financial markets with portfolio constraints and transaction costs
De Waegenaere, Anja
-
1994
Persistent link: https://www.econbiz.de/10000889938
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2
Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy
Hest, Tim van
;
De Waegenaere, Anja
- In:
The journal of asset management
8
(
2007/08
)
3
,
pp. 176-187
Persistent link: https://www.econbiz.de/10003543584
Saved in:
3
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
Saved in:
4
Excess based allocation of risk capital
Gulick, Gerwald van
;
De Waegenaere, Anja
;
Norde, Henk
-
2010
Persistent link: https://www.econbiz.de/10008748335
Saved in:
5
Bargaining for over-the-counter risk redistributions : the case of longevity risk
Boonen, Tim
;
De Waegenaere, Anja
;
Norde, Henk
-
2012
Persistent link: https://www.econbiz.de/10009676137
Saved in:
6
Longevity risk
De Waegenaere, Anja
;
Melenberg, Bertrand
;
Stevens, Ralph
- In:
De economist : Netherlands economic review ; quarterly …
158
(
2010
)
2
,
pp. 151-192
Persistent link: https://www.econbiz.de/10009299705
Saved in:
7
A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.
;
De Waegenaere, Anja
;
Norde, Henk
- In:
European journal of operational research : EJOR
282
(
2020
)
1
,
pp. 277-287
Persistent link: https://www.econbiz.de/10012157603
Saved in:
8
Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products : The Effect of Investment Risk
Stevens, Ralph
-
2011
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...
Persistent link: https://www.econbiz.de/10013127855
Saved in:
9
The Family of Weighted Aumann-shapley Values With an Application in Risk Capital Allocations
Boonen, Tim J.
-
2018
This paper introduces the family of Weighted Aumann-Shapley values for piecewise linear fuzzy games. The regular Aumann-Shapley value is not well-defined in case some differentiability condition is not satisfied. As an alternative, we introduce a family of allocation rules inspired by the...
Persistent link: https://www.econbiz.de/10012938623
Saved in:
10
Bargaining for Over-the-Counter Risk Redistributions : The Case of Longevity Risk
Boonen, Tim J.
-
2017
Existing literature regarding the natural hedge potential that arises from combining liabilities with different sensitivities focuses on the optimal liability mix, but does not address the question whether and how changes in the liability mix can be obtained. In the absence of a well-functioning...
Persistent link: https://www.econbiz.de/10012974804
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