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On expansions for densities with divergent moments
Goovaerts, M. J.; VanGoethem, P. - 1977
Persistent link: https://www.econbiz.de/10001500576
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Value at risk under dependence and heavy tariledness : models with comon shocks
Ibragimov, Rustam Ju. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003712614
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Tail Conditional Expectation for vector-valued risks
Bentahar, Imen (contributor) - 2006
Persistent link: https://www.econbiz.de/10003324429
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Portfolio credit risk modelling with heavy-tailed risk factors
Kostadinov, Krassimir Kolev (contributor) - 2006
Persistent link: https://www.econbiz.de/10003358509
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Kapitalallokation bei elliptischverteilten Risiken
Marquardt, Benjamin - In: Risikomanagement, (pp. 37-65). 2005
Persistent link: https://www.econbiz.de/10003339284
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Optimal portfolio management in highly volatile markets
Stoyanov, Stoyan Veselinov - 2005
Persistent link: https://www.econbiz.de/10003346695
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Additive damages, fat-tailed climate dynamics, and uncertain discounting
Weitzman, Martin L. - 2009
This paper in applied theory argues that there is a loose chain of reasoning connecting the following three basic links …
Persistent link: https://www.econbiz.de/10003832132
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Higher moment coherent risk measures
Krokhmal, Pavlo A. - In: Quantitative fund management, (pp. 271-298). 2009
Persistent link: https://www.econbiz.de/10003796963
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Additive damages, fat-tailed climate dynamics, and uncertain discounting
Weitzman, Martin L. - 2009
This paper in applied theory argues that there is a loose chain of reasoning connecting the following three basic links …
Persistent link: https://www.econbiz.de/10003904976
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Tractable robust expected utility and risk models for portfolio optimization
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 695-731
Persistent link: https://www.econbiz.de/10008667625