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isPartOf:"Journal of financial and quantitative analysis : JFQA"
subject:"Portfolio selection"
~isPartOf:"Finance and stochastics"
~isPartOf:"Mathematical methods of operations research"
~language:"eng"
~person:"Björk, Tomas"
~person:"Constantinescu, Corina"
~person:"Kabanov, Jurij M."
~person:"Kallsen, Jan"
~person:"Schwartz, Eduardo S."
~subject:"Betriebliche Investitionstheorie"
~subject:"Stochastischer Prozess"
~subject:"Stock market"
~subject:"Wahrscheinlichkeitsrechnung"
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Portfolio selection
Betriebliche Investitionstheorie
Stochastischer Prozess
Stock market
Wahrscheinlichkeitsrechnung
Theorie
34
Theory
34
Portfolio-Management
11
Stochastic process
9
Arbitrage Pricing
8
Arbitrage pricing
8
Transaction costs
8
Transaktionskosten
8
Probability theory
7
Martingal
6
Martingale
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Option pricing theory
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Optionspreistheorie
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Hedging
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Incomplete market
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Risk
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CAPM
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Derivat
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Derivative
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Finanzmathematik
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Mathematical finance
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Opportunity cost
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Opportunitätskosten
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Option trading
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Optionsgeschäft
2
Risikomanagement
2
Risikomodell
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Risk management
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Risk model
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Ruin probabilities
2
Volatility
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Volatilität
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English
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Björk, Tomas
Constantinescu, Corina
Kabanov, Jurij M.
Kallsen, Jan
Schwartz, Eduardo S.
Jeanblanc, Monique
6
Korn, Ralf
6
Rüschendorf, Ludger
6
Karatzas, Ioannis
5
Kardaras, Constantinos
5
Pham, Huyên
5
Zariphopoulou-Souganidis, Thaleia
5
Benth, Fred Espen
4
Bäuerle, Nicole
4
Choulli, Tahir
4
Frey, Rüdiger
4
Fukasawa, Masaaki
4
Larsen, Kasper
4
Lépinette, Emmanuel
4
Muhle-Karbe, Johannes
4
Sass, Jörn
4
Schachermayer, Walter
4
Schied, Alexander
4
Soner, Halil Mete
4
Bayraktar, Erhan
3
Becherer, Dirk
3
Chen, Zhiping
3
Delbaen, Freddy
3
Deng, Jun
3
Elie, Romuald
3
Föllmer, Hans
3
Guasoni, Paolo
3
Hernández-Hernández, Daniel
3
Hilliard, Jimmy E.
3
Jarrow, Robert A.
3
Jiao, Ying
3
Klüppelberg, Claudia
3
Kraft, Holger
3
Madan, Dilip B.
3
Mauer, David C.
3
Pliska, Stanley R.
3
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Journal of financial and quantitative analysis : JFQA
Finance and stochastics
Mathematical methods of operations research
SSE EFI working paper series in economics and finance
5
Scandinavian actuarial journal
5
Handbook of heavy tailed distributions in finance
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Risks : open access journal
3
Journal of economic dynamics & control
2
Journal of energy finance & development
2
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
2
NBER working paper series
2
Working paper series in economics and finance
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Energy economics
1
European finance review : the official journal of the European Finance Association
1
Finanzmarkt und Portfolio-Management
1
From stochastic calculus to mathematical finance : the Shiryaev Festschrift ; [Second Bachelier Colloquium on Stochastic Calculus and Probability, Metabief, France, January 9 - 15, 2005]
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
NBER Working Paper
1
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
1
Research paper series / Swiss Finance Institute
1
Rotman School of Management working paper / University of Toronto Rotman School of Management
1
Swiss Finance Institute Research Paper
1
The journal of business : B
1
The journal of finance : the journal of the American Finance Association
1
The journal of real estate finance and economics
1
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ECONIS (ZBW)
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1
Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments
Kabanov, Jurij M.
;
Promyslov, Platon
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 887-902
Persistent link: https://www.econbiz.de/10014426395
Saved in:
2
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
3
An application of fractional differential equations to risk theory
Constantinescu, Corina
;
Ramirez, Jorge M.
;
Zhu, Wei
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 1001-1024
Persistent link: https://www.econbiz.de/10012114683
Saved in:
4
Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De
;
Kabanov, Jurij M.
;
Lépinette, …
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
Saved in:
5
In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.
;
Pergamenshchikov, Serguei
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
Saved in:
6
Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 357-368
Persistent link: https://www.econbiz.de/10009562323
Saved in:
7
Existence of shadow prices in finite probability spaces
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
Mathematical methods of operations research
73
(
2011
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10008991842
Saved in:
8
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
Saved in:
9
Optimal investment under partial information
Björk, Tomas
;
Davis, Mark H. A.
- In:
Mathematical methods of operations research
71
(
2010
)
2
,
pp. 371-399
Persistent link: https://www.econbiz.de/10003958366
Saved in:
10
Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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