Zobrazeno 1 - 10
of 92
pro vyhledávání: '"Zinoviy Landsman"'
Publikováno v:
Energies, Vol 15, Iss 16, p 6081 (2022)
Climate change impacts many aspects of life and requires innovative thinking on various issues. The electricity sector is affected in several ways, including changes in the production components and consumption patterns. One of the most important iss
Externí odkaz:
https://doaj.org/article/501d5daf90344b34916234c416c3560f
Autor:
Zinoviy Landsman, Tomer Shushi
Publikováno v:
Symmetry, Vol 13, Iss 4, p 559 (2021)
The class of log-elliptical distributions is well used and studied in risk measurement and actuarial science. The reason is that risks are often skewed and positive when they describe pure risks, i.e., risks in which there is no possibility of profit
Externí odkaz:
https://doaj.org/article/74a05d05d5984486b4cc0b2576e0a15c
Publikováno v:
Risks, Vol 6, Iss 1, p 19 (2018)
In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an
Externí odkaz:
https://doaj.org/article/a440121b83fe475bacd17fd4154eb390
Autor:
Zinoviy Landsman, Tomer Shushi
Publikováno v:
Insurance: Mathematics and Economics. 105:64-78
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bbe2de218b4f2c6b917f7942aedd1d2e
https://doi.org/10.1016/j.insmatheco.2022.03.006
https://doi.org/10.1016/j.insmatheco.2022.03.006
Autor:
Zinoviy Landsman, Katja Ignatieva
Publikováno v:
Insurance: Mathematics and Economics. 101:437-465
This paper introduces a new family of Generalised Hyper-Elliptical (GHE) distributions providing further generalisation of the generalised hyperbolic (GH) family of distributions, considered in Ignatieva and Landsman (2019) . The GHE family is constr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fcd9f318aa6df98b781048dd05807a21
https://doi.org/10.1016/j.insmatheco.2021.08.011
https://doi.org/10.1016/j.insmatheco.2021.08.011
Publikováno v:
The European Journal of Finance. 28:1642-1663
In this paper, we discuss downside risk optimization in the context of portfolio selection. We derive explicit solutions to the optimal portfolios that minimize the downside risk with respect to co...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6bc70d33ad7f633ac57c9da11b333e68
https://doi.org/10.1080/1351847x.2021.1991421
https://doi.org/10.1080/1351847x.2021.1991421
Autor:
Tomer Shushi, Zinoviy Landsman
Publikováno v:
Annals of Actuarial Science. 16:6-24
In Finance and Actuarial Science, the multivariate elliptical family of distributions is a famous and well-used model for continuous risks. However, it has an essential shortcoming: all its univariate marginal distributions are the same, up to locati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8987bb601b2dda9892a1f6065d3a7bd8
https://doi.org/10.1017/s1748499521000038
https://doi.org/10.1017/s1748499521000038
Publikováno v:
Communications in Statistics - Theory and Methods. 50:3014-3029
This paper generalizes Stein's Lemma recently obtained for elliptical class distributions to the generalized skew-elliptical family of distributions. Stein's Lemma provides a useful tool for derivi...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::64b884f430bc587c2d594ecd62f8427c
https://doi.org/10.1080/03610926.2019.1678642
https://doi.org/10.1080/03610926.2019.1678642
Publikováno v:
The European Journal of Finance. 26:165-178
In portfolio theory, it is well-known that the distributions of stock returns are often unimodal asymmetric distributions. Therefore, many researches have suggested considering the skew-normal dist...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab72f963b97b9c9c2b57f4f05d51a589
https://doi.org/10.1080/1351847x.2019.1618363
https://doi.org/10.1080/1351847x.2019.1618363
Autor:
Katja Ignatieva, Zinoviy Landsman
Publikováno v:
Insurance: Mathematics and Economics. 86:98-114
This paper deals with the estimation of loss severity distributions arising from historical data on univariate and multivariate losses. We present an innovative theoretical framework where a closed-form expression for the tail conditional expectation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9cfb4f8c161a01fe4d3719c5086f6e87
https://doi.org/10.1016/j.insmatheco.2019.02.008
https://doi.org/10.1016/j.insmatheco.2019.02.008