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isPartOf:"Journal of economic theory"
subject:"Portfolio selection"
~isPartOf:"Mathematical methods of operations research"
~isPartOf:"Mathematics and financial economics"
~person:"Borgwardt, Karl Heinz"
~person:"Fortin, Ines"
~person:"Guo, Xianping"
~person:"Hernández-Hernández, Daniel"
~person:"Kallsen, Jan"
~person:"Korn, Ralf"
~subject:"Mathematische Optimierung"
~subject:"Portfolio-Management"
~subject:"Quadratic/downside loss aversion"
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Portfolio selection
Mathematische Optimierung
Portfolio-Management
Quadratic/downside loss aversion
Theorie
19
Theory
19
Markov chain
5
Markov-Kette
5
Mathematical programming
5
Risikoaversion
4
Risk aversion
4
Dynamic programming
3
Dynamische Optimierung
3
Anlageverhalten
2
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CVaR portfolios
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Control theory
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Erwartungsnutzen
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Martingal
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Portfolio optimization
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English
16
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Borgwardt, Karl Heinz
Fortin, Ines
Guo, Xianping
Hernández-Hernández, Daniel
Kallsen, Jan
Korn, Ralf
Evstigneev, Igor V.
4
Bäuerle, Nicole
3
Cvitanić, Jakša
3
Fang, Shu-Cherng
3
He, Hua
3
Jarrow, Robert A.
3
Mitra, Tapan
3
Munari, Cosimo-Andrea
3
Rosazza Gianin, Emanuela
3
Rásonyi, Miklós
3
Schenk-Hoppé, Klaus Reiner
3
Soner, Halil Mete
3
Ahookhosh, Masoud
2
Aliprantis, Charalambos D.
2
Altman, Eitan
2
Bayraktar, Erhan
2
Cambini, Riccardo
2
Carassus, Laurence
2
Chen, An
2
Chen, Zhiping
2
Ehrgott, Matthias
2
Fliege, Jörg
2
Garleanu, Nicolae
2
Gollier, Christian
2
Hamacher, Horst W.
2
Hens, Thorsten
2
Hlouskova, Jaroslava
2
Horst, Ulrich
2
Huang, Chi-fu
2
Jouini, Elyès
2
Judd, Kenneth L.
2
Kikuchi, Tomoo
2
Koch Medina, Pablo
2
Koo, Hyeng-keun
2
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Journal of economic theory
Mathematical methods of operations research
Mathematics and financial economics
International journal of theoretical and applied finance
7
Berichte zur Stochastik und verwandten Gebieten
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
European journal of operational research : EJOR
2
Finance and stochastics
2
Mathematics of operations research
2
Operations research letters
2
Research paper series / Swiss Finance Institute
2
Risks : open access journal
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Advances in risk management
1
Applied mathematical finance
1
Chapman & Hall/CRC financial mathematics series
1
Computational Management Science : CMS
1
Computational economics
1
IMA journal of management mathematics
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
OR spectrum : quantitative approaches in management
1
OR-Spektrum : quantitative approaches in management
1
SFB 649 discussion paper
1
Studienbücher Wirtschaftsmathematik
1
Swiss Finance Institute Research Paper
1
Working paper / Laboratory of Actuarial Mathematics, University of Copenhagen
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ECONIS (ZBW)
16
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16
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1
Optimal portfolios in the presence of stress scenarios : a worst-case approach
Korn, Ralf
;
Müller, Lukas
- In:
Mathematics and financial economics
16
(
2022
)
1
,
pp. 153-185
Persistent link: https://www.econbiz.de/10013167740
Saved in:
2
Worst-case portfolio optimization in discrete time
Chen, Lihua
;
Korn, Ralf
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 197-227
Persistent link: https://www.econbiz.de/10012132709
Saved in:
3
Downside loss aversion : winner or loser?
Fortin, Ines
;
Hlouskova, Jaroslava
- In:
Mathematical methods of operations research
81
(
2015
)
2
,
pp. 181-233
Persistent link: https://www.econbiz.de/10010526371
Saved in:
4
Downside loss aversion : winner or loser?
Fortin, Ines
;
Hlouskova, Jaroslava
- In:
Mathematical methods of operations research
81
(
2015
)
2
,
pp. 181-233
Persistent link: https://www.econbiz.de/10010526379
Saved in:
5
The average number of pivot steps of the simplex-algorithm based on a generalized rotation-symmetry-model
Göhl, Markus
;
Borgwardt, Karl Heinz
- In:
Mathematical methods of operations research
80
(
2014
)
3
,
pp. 329-366
Persistent link: https://www.econbiz.de/10010442254
Saved in:
6
New sufficient conditions for average optimality in continuous-time Markov decision processes
Ye, Liuer
;
Guo, Xianping
- In:
Mathematical methods of operations research
72
(
2010
)
1
,
pp. 75-94
Persistent link: https://www.econbiz.de/10008652561
Saved in:
7
An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
68
(
2008
)
1
,
pp. 159-179
Persistent link: https://www.econbiz.de/10003748390
Saved in:
8
Worst-case scenario portfolio optimization : a new stochastic control approach
Korn, Ralf
;
Menkens, Olaf
- In:
Mathematical methods of operations research
62
(
2005
)
1
,
pp. 123-140
Persistent link: https://www.econbiz.de/10003114493
Saved in:
9
Optimal portfolios for exponential Lévy processes
Kallsen, Jan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
Saved in:
10
Nonstationary denumerable state Markov decision processes : with average variance criterion
Guo, Xianping
- In:
Mathematical methods of operations research
49
(
1999
)
1
,
pp. 87-96
Persistent link: https://www.econbiz.de/10001415267
Saved in:
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