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Mean-risk models using two ris...
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Fabozzi, Frank J.
138
Maurer, Raimond
92
Platen, Eckhard
57
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55
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52
Guidolin, Massimo
48
Korn, Ralf
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Wang, Ruodu
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Bernard, Carole
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Kane, Alex
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National Bureau of Economic Research
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Center for Economic Research <Tilburg>
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Universität Zürich / Institut für Schweizerisches Bankwesen
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Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
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Springer Fachmedien Wiesbaden
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European University Institute / Department of Law
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International Center for Financial Asset Management and Engineering
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Rodney L. White Center for Financial Research
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Association of European Operational Research Societies / Working Group on Financial Modelling
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Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
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Springer-Verlag GmbH
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Banco Central do Brasil
2
Bank für Internationalen Zahlungsausgleich
2
Birkbeck College / Department of Economics
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Books on Demand GmbH <Norderstedt>
2
Christian-Albrechts-Universität zu Kiel
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Insurance / Mathematics & economics
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European journal of operational research : EJOR
300
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NBER working paper series
259
Finance research letters
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
160
Finance and stochastics
158
International journal of theoretical and applied finance
156
Quantitative finance
135
Research paper series / Swiss Finance Institute
132
Risks : open access journal
126
Journal of financial economics
120
The journal of portfolio management : a publication of Institutional Investor
117
Journal of empirical finance
114
The review of financial studies
111
Management science : journal of the Institute for Operations Research and the Management Sciences
108
International review of financial analysis
106
Economic modelling
103
The journal of finance : the journal of the American Finance Association
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The journal of asset management
100
The North American journal of economics and finance : a journal of financial economics studies
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Discussion paper / Centre for Economic Policy Research
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International review of economics & finance : IREF
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The European journal of finance
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Economics letters
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Discussion paper / Tinbergen Institute
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Applied economics
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Computational economics
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Journal of risk
78
Mathematics and financial economics
75
The journal of portfolio management : JPM
74
Mathematical methods of operations research
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SpringerLink / Bücher
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Annals of finance
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ECONIS (ZBW)
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USB Cologne (EcoSocSci)
14
OLC EcoSci
12
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1
Triple-objective models for portfolio optimisation with symmetric and percentile
risk
measures
Sawik, Bartosz
- In:
International journal of logistics systems and management
25
(
2016
)
1
,
pp. 96-107
Persistent link: https://www.econbiz.de/10011647331
Saved in:
2
Analysis of
risk
measures in multiobjective optimization portfolios with cardinality constraint
Cardoso, Rodrigo T. N.
;
Barroso, Bruno Cândido
; …
- In:
Revista Brasileira de Finanças : RBFin
17
(
2019
)
3
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012221265
Saved in:
3
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
4
The marginal cost of
risk
,
risk
measures, and capital allocation
Bauer, Daniel
;
Zanjani, George
- In:
Management science : journal of the Institute for …
62
(
2016
)
5
,
pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
Saved in:
5
A note on a new weighted idiosyncratic
risk
measure
Jan, Yin-Ching
- In:
International journal of financial research
5
(
2014
)
3
,
pp. 194-198
Persistent link: https://www.econbiz.de/10010458525
Saved in:
6
Minimizing
risk
exposure when the choice of a
risk
measure is ambiguous
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Management science : journal of the Institute for …
64
(
2018
)
1
,
pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
Saved in:
7
Remarks on a copula-based conditional value at
risk
for the portfolio problem
Molina Barreto, Andres Mauricio
;
Ishimura, Naoyuki
- In:
Intelligent systems in accounting, finance & management
30
(
2023
)
3
,
pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
Saved in:
8
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
9
Comparing
risk
measures when aggregating market
risk
and credit
risk
using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
10
Period value at
risk
and its estimation by Monte Carlo simulation
Huo, Yanli
;
Xu, Chunhui
;
Shiina, Takayuki
- In:
Applied economics letters
29
(
2022
)
18
,
pp. 1675-1679
Persistent link: https://www.econbiz.de/10013412280
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