Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric tail- and range-value-at-risk. (English) Zbl 1431.91441 ASTIN Bull. 50, No. 1, 265-292 (2020). MSC: 91G70 91G05 62P05 PDFBibTeX XMLCite \textit{K. Herrmann} et al., ASTIN Bull. 50, No. 1, 265--292 (2020; Zbl 1431.91441) Full Text: DOI
Gijbels, Irène; Herrmann, Klaus Optimal expected-shortfall portfolio selection with copula-induced dependence. (English) Zbl 1418.91469 Appl. Math. Finance 25, No. 1, 66-106 (2018). MSC: 91G10 62P05 62H05 PDFBibTeX XMLCite \textit{I. Gijbels} and \textit{K. Herrmann}, Appl. Math. Finance 25, No. 1, 66--106 (2018; Zbl 1418.91469) Full Text: DOI
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric expectiles. (English) Zbl 1398.62302 Scand. Actuar. J. 2018, No. 7, 629-659 (2018). MSC: 62P05 62H05 91B30 91G70 PDFBibTeX XMLCite \textit{K. Herrmann} et al., Scand. Actuar. J. 2018, No. 7, 629--659 (2018; Zbl 1398.62302) Full Text: DOI arXiv