Mario Brandtner
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis Quantitative Finance | 2021-12-01 | Paper |
| Nonlinearly transformed risk measures: properties and application to optimal reinsurance Scandinavian Actuarial Journal | 2020-08-26 | Paper |
| Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures European Journal of Operational Research | 2020-05-27 | Paper |
| Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited European Journal of Operational Research | 2018-05-25 | Paper |
| Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity European Journal of Operational Research | 2017-11-23 | Paper |
| Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures? Insurance Mathematics & Economics | 2015-02-03 | Paper |
Research outcomes over time
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