44 citations · 67 across the 7 of their papers we have counts for
7 papers
Coskewness under dependence uncertainty
Carole Bernard, Jinghui Chen, Ludger Ruschendorf +1
We study the impact of dependence uncertainty on the expectation of the product of random variables, when for all~. Under some…
Comparison of Markov processes by the martingale comparison method
Benedikt Köpfer, Ludger Rüschendorf
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been o…
Comparison of path-dependent functionals of semimartingales
Benedikt Köpfer, Ludger Rüschendorf
Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of…
Comparison of path-independent functions of semimartingales
Benedikt Köpfer, Ludger Rüschendorf
The martingale comparison method is extended to derive comparison results for path-independent functions for general semimartingales. Our approach allows to dismiss with the Markov…
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
Georg Mainik, Georgi Mitov, Ludger Rüschendorf
Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This metho…
Ordering of multivariate probability distributions with respect to extreme portfolio losses
Georg Mainik, Ludger Rüschendorf
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular…