Ludger Rschendorf

Information about the author Ludger Rschendorf will soon be added to the site.

Found 2 papers in total

Value-at-Risk Bounds With Variance Constraints

2017

We study bounds on the Value‐at‐Risk (VaR) of a portfolio when besides...

On the optimal risk allocation problem

2006

The optimal risk allocation problem or equivalently the problem of risk sharing is the...

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