Chair of Mathematical Finance, Technische Universität München, Germany
Bibliografia
[1] Andersen, P. K., O. Borgan, R. D. Gill, and N. Keiding (2012). Statistical Models Based on Counting Processes. Springer- Verlag, New York.
[2] Bickel, P. J., Y. Ritov, and J. A. Wellner (1991). Efficient estimation of linear functionals of a probability measure P with known marginal distributions. Ann. Statist. 19(3), 1316–1346. [Crossref]
[3] Brenier, Y. (1991). Polar factorization and monotone rearrangement of vector-valued functions. Comm. Pure Appl. Math. 44(4), 375–417.
[4] Bruss, F. T. and L. Rüschendorf (2010). On the perception of time. Gerontology 56(4), 361–370. [Crossref]
[5] Dall’Aglio, G., S. Kotz, and G. Salinetti (Eds.) (1991). Advances in Probability Distributions with Given Marginals. Kluwer Academic Publishers Group, Dordrecht.
[6] Deheuvels, P. (1979). La fonction de dépendance empirique et ses propriétés. Un test non paramétrique d’indépendance. Acad. Roy. Belg. Bull. Cl. Sci.(5) 65(6), 274–292.
[7] Deming, W. E. and F. F. Stephan (1940). On a least squares adjustment of a sampled frequency table when the expected marginal totals are known. Ann. Math. Stat. 11(4), 427–444. [Crossref]
[8] Döhler, S. and L. Rüschendorf (2003). Nonparametric estimation of regression functions in point process models. Stat. Inference Stoch. Process. 6(3), 291–307.
[9] Durante, F. and C. Sempi (2010). Copula theory: an introduction. In Copula Theory and Its Applications, Volume 198 of Lecture Notes in Statistics, pp. 3–31. Springer, Berlin.
[10] Embrechts, P. and G. Puccetti (2006). Bounds for functions of dependent risks. Finance Stoch. 10(3), 341–352.
[11] Embrechts, P., G. Puccetti, and L. Rüschendorf (2013). Model uncertainty and VaR aggregation. J. Bank. Financ. 37(8), 2750– 2764. [WoS][Crossref]
[12] Fermanian, J.-D., D. Radulovic, M. Wegkamp (2004). Weak convergence of empirical copula processes. Bernoulli 10(5), 847–860. [Crossref]
[13] Genest, C., J.-F. Quessy, B. Rémillard (2007). Asymptotic local efficiency of Cramér-von Mises tests for multivariate independence. Ann. Statist. 35(1), 166–191. [Crossref]
[14] Goll, T. and L. Rüschendorf (2001). Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Finance Stoch. 5(4), 557–581.
[15] Gray, L. and D. Wilson (1980). Nonnegative factorization of positive semidefinite nonnegative matrices. Linear Algebra Appl. 31, 119 – 127.
[16] Grenander, U. (1968). Probabilities on Algebraic Structures (2nd edition). Almqvist & Wiksell, Stockholm and John Wiley, New York.
[17] Hall, P. (1935). On representatives of subsets. J. London Math. Soc. s1-10(1), 26–30.
[18] Hardy, G. H., J. E. Littlewood, and G. Pólya (1952). Inequalities (2nd edition). Cambridge University Press, Camdridge.
[19] Holtrode, R. and L. Rüschendorf (1993). Differentiablity of point process models and asymptotic efficiency of differentiable functionals. Statistics 24(1), 17–42. [Crossref]
[20] Iosifescu, M. and P. Tautu (1973). Stochastic Processes and Applications in Biology and Medicine. Springer-Verlag, Berlin- New York.
[21] Karlin, S. and J. McGregor (1964). Direct product branching processes and related Markov chains. Proc. Nat. Acad. Sci. U.S.A. 51, 598–602. [Crossref]
[22] Kellerer, H. G. (1984). Duality theorems for marginal problems. Z. Wahrsch. Verw. Gebiete 67(4), 399–432. [Crossref]
[23] Kolmogorov, A. N. (1957). On the representation of continuous functions of many variables by superposition of continuous functions of one variable and addition. Dokl. Akad. Nauk SSSR 114, 953–956.
[24] Linnik, Y. V. (1975). Problems of Analytical Statistics. Statistical Publishing Society, Calcutta.
[25] Mainik, G., G. Mitov, and L. Rüschendorf (2015). Portfolio optimization for heavy-tailed assets: Extreme risk index vs. Markowitz. J. Empirical Finance 32, 115–134.
[26] Mainik, G. and L. Rüschendorf (2010). Onoptimal portfolio diversificationwith respect to extreme risks. Finance Stoch. 14(4), 593–623.
[27] Moore, D. S. and M. C. Spruill (1975). Unified large-sample theory of general chi-squared statistics for tests of fit. Ann. Statist. 3, 599–616.
[28] Pitt, L. D. (1982). Positively correlated normal variables are associated. Ann. Probab. 10, 496–499. [Crossref]
[29] Puccetti, G. and L. Rüschendorf (2012). Computation of sharp bounds on the distribution of a function of dependent risks. J. Comput. Appl. Math. 236(7), 1833–1840. [WoS][Crossref]
[30] Rachev, S. T. and L. Rüschendorf (1998). Mass Transportation Problems. Vol. I–II. Springer, New York.
[31] Rüschendorf, L. (1976). Asymptotic distributions of multivariate rank order statistics. Ann. Statist. 4, 912–923. [Crossref]
[32] Rüschendorf, L. (1981a). Sharpness of Fréchet bounds. Z. Wahrsch. Verw. Gebiete 57(2), 293–302. [Crossref]
[33] Rüschendorf, L. (1981b). Stochastically ordered distributions and monotonicity of the OC-function of sequential probability ratio tests. Math. Operationsforsch. Statist. Ser. Statist. 12(3), 327–338.
[34] Rüschendorf, L. (1982). Random variables with maximum sums. Adv. Appl. Probab. 14, 623–632. [Crossref]
[35] Rüschendorf, L. (1991). Fréchet-bounds and their applications. In Advances in Probability Distributions with Given Marginals, Volume 67, pp. 151–187. Dordrecht: Kluwer Acad. Publ.
[36] Rüschendorf, L. (1995). Convergence of the iterative proportional fitting procedure. Ann. Statist. 23, 1160–1174. [Crossref]
[37] Rüschendorf, L. (2013). Mathematical Risk Analysis. Dependence, Risk Bounds, Optimal Allocations and Portfolios. Springer, Heidelberg.
[38] Rüschendorf, L. (2014). Mathematische Statistik. Springer, Berlin.
[39] Rüschendorf, L. and S. T. Rachev (1990). A characterization of random variables with minimum L2-distance. J. Multivariate Anal. 32(1), 48–54. [Crossref]
[40] Rüschendorf, L., B. Schweizer, and M. Taylor (Eds.) (1996). Distributions with FixedMarginals and Related Topics, Hayward, CA. Inst. Math. Statist.
[41] Rüschendorf, L. and W. Thomsen (1998). Closedness of sum spaces and the generalized ’Schrödinger problem’. Theory Probab. Appl. 42(3), 483–494.
[42] Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris 8, 229–231.
[43] Strasser, H. (1985). Mathematical Theory of Statistics: Statistical Experiments and Asymptotic Decision Theory. Walter de Gruyter & Co., Berlin.
[44] Stute, W. (1984). The oscillation behavior of empirical processes: the multivariate case. Ann. Probab. 12, 361–379. [Crossref]