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Equivalent Distortion Risk Mea...
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121
Selected topics in credit risk: Realistic modeling of correlations and new pricing approaches for credit products
Hüttner, Amelie Angelika
-
2019
Persistent link: https://www.econbiz.de/10012108528
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122
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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123
Impact of flexible periodic premiums on variable annuity guarantees
Bernard, Carole
;
Cui, Zhenyu
;
Vanduffel, Steven
- In:
North American actuarial journal
21
(
2017
)
1
,
pp. 63-86
Persistent link: https://www.econbiz.de/10011857977
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124
Block rearraning elements within matrix columns to minimize the variability of the row sums
Boudt, Kris
;
Jakobsons, Edgars
;
Vanduffel, Steven
- In:
4OR : a quarterly journal of operations research
16
(
2018
)
1
,
pp. 31-50
Persistent link: https://www.econbiz.de/10011860895
Saved in:
125
Optimal portfolio under state-dependent expected utility
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011889433
Saved in:
126
Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
Saved in:
127
The variance implied conditional correlation
Algaba, Andres
;
Boudt, Kris
;
Vanduffel, Steven
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 200-222
Persistent link: https://www.econbiz.de/10012207197
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128
A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
Economics letters
181
(
2019
),
pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
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129
Optimal portfolio choice with benchmarks
Bernard, Carole
;
De Staelen, Rob H.
;
Vanduffel, Steven
- In:
Journal of the Operational Research Society
70
(
2019
)
10
,
pp. 1600-1621
Persistent link: https://www.econbiz.de/10012214351
Saved in:
130
How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
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