Fabio Bellini
Cím
Hivatkozott rá
Hivatkozott rá
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On the existence of minimax martingale measures
F Bellini, M Frittelli
Mathematical Finance 12 (1), 1-21, 2002
2542002
Generalized quantiles as risk measures
F Bellini, B Klar, A Müller, ER Gianin
Insurance: Mathematics and Economics 54, 41-48, 2014
2362014
On elicitable risk measures
F Bellini, V Bignozzi
Quantitative Finance 15 (5), 725-733, 2015
1582015
Risk management with expectiles
F Bellini, E Di Bernardino
The European Journal of Finance 23 (6), 487-506, 2017
1332017
On Haezendonck risk measures
F Bellini, ER Gianin
Journal of Banking & Finance 32 (6), 986-994, 2008
682008
Haezendonck-Goovaerts risk measures and Orlicz quantiles
F Bellini, E ROSAZZA GIANIN
Insurance: Mathematics and Economics 51 (1), 107-114, 2011
532011
Risk measures with the CxLS property
F Delbaen, F Bellini, V Bignozzi, JF Ziegel
Finance and Stochastics 20 (2), 433-453, 2016
502016
Optimal portfolios with Haezendonck risk measures
F Bellini, E Rosazza Gianin
Statistics & Decisions 26 (2), 89-108, 2008
312008
Expectiles, Omega ratios and stochastic ordering
F Bellini, B Klar, A Müller
Methodology and Computing in Applied Probability 20 (3), 855-873, 2018
212018
Isotonicity properties of generalized quantiles
F Bellini
Statistics & Probability Letters 82 (11), 2017-2024, 2012
192012
Robust return risk measures
F Bellini, RJA Laeven, ER Gianin
Mathematics and Financial Economics 12 (1), 5-32, 2018
172018
Coherent distortion risk measures and higher-order stochastic dominances
F Bellini, C Caperdoni
North American Actuarial Journal 11 (2), 35-42, 2007
142007
Conditional tail behaviour and Value at Risk
F Bellini, G Figa-Talamanca
Quantitative Finance 7 (6), 599-607, 2007
132007
Certainty equivalent and no arbitrage: A reconciliation via duality theory
M Frittelli, F Bellini
Working Paper, Università degli Studi di Milano, 1997
121997
Conditional Expectiles, Time Consistency and Mixture Convexity Properties
F Bellini, V Bignozzi, G Puccetti
Insurance: Mathematics and Economics 82, 117-123, 2017
112017
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance, 2018
102018
Backtesting VaR and Expectiles with Realized Scores
F Bellini, I Negri, M Pyatkova
Statistical Methods and Applications, 2017
102017
Runs tests for assessing volatility forecastability in financial time series
F Bellini, G Figà-Talamanca
European Journal of Operational Research 163 (1), 102-114, 2005
102005
Detecting and modeling tail dependence
F Bellini, G Figà-Talamanca
International Journal of Theoretical and Applied Finance 7 (03), 269-287, 2004
102004
Option pricing in a dynamic Variance - Gamma model
L Mercuri, F Bellini
Journal of Financial Decision Making 7 (1), 37-51, 2011
92011
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Cikkek 1–20