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subject:"Portfolio-Management"
subject:"United States"
~isPartOf:"Finance and stochastics"
~language:"afr"
~language:"eng"
~subject:"Stochastischer Prozess"
~subject:"Transaction costs"
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Portfolio-Management
United States
Stochastischer Prozess
Transaction costs
Theorie
496
Theory
496
Portfolio selection
152
Stochastic process
130
Option pricing theory
106
Optionspreistheorie
106
Martingal
59
Martingale
59
Transaktionskosten
54
Risiko
53
Risk
53
Hedging
52
CAPM
51
Volatility
42
Volatilität
42
Yield curve
38
Zinsstruktur
38
Mathematical programming
34
Mathematische Optimierung
34
Incomplete market
32
Unvollkommener Markt
32
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30
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30
Derivat
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27
Arbitrage pricing
27
Markov chain
26
Markov-Kette
26
Option trading
26
Optionsgeschäft
26
Risk measure
26
Risikomaß
25
Black-Scholes model
20
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20
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19
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Kabanov, Jurij M.
12
Pham, Huyên
6
Bouchard, Bruno
5
Guasoni, Paolo
5
Jeanblanc, Monique
5
Karatzas, Ioannis
5
Kardaras, Constantinos
5
Lépinette, Emmanuel
5
Muhle-Karbe, Johannes
5
Rásonyi, Miklós
5
Rüschendorf, Ludger
5
Schachermayer, Walter
5
Zariphopoulou-Souganidis, Thaleia
5
Benth, Fred Espen
4
Choulli, Tahir
4
Fukasawa, Masaaki
4
Larsen, Kasper
4
Schied, Alexander
4
Stricker, Christophe
4
Bank, Peter
3
Bayraktar, Erhan
3
Becherer, Dirk
3
Björk, Tomas
3
Campi, Luciano
3
Delbaen, Freddy
3
Deng, Jun
3
Elie, Romuald
3
Frey, Rüdiger
3
Jarrow, Robert A.
3
Jiao, Ying
3
Klüppelberg, Claudia
3
Madan, Dilip B.
3
Sass, Jörn
3
Shreve, Steven E.
3
Soner, Halil Mete
3
Wang, Ruodu
3
Žitković, Gordan
3
Aksamit, Anna
2
Alòs, Elisa
2
Beiglböck, Mathias
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Finance and stochastics
Working paper / National Bureau of Economic Research, Inc.
1,580
European journal of operational research : EJOR
1,007
Discussion paper / Centre for Economic Policy Research
477
Insurance / Mathematics & economics
404
Journal of banking & finance
391
Computers & operations research : and their applications to problems of world concern ; an international journal
385
NBER working paper series
382
Journal of economic dynamics & control
340
The American economic review
339
Economics letters
324
The review of financial studies
317
The journal of finance : the journal of the American Finance Association
304
Working paper
296
NBER Working Paper
293
International journal of production research
277
American journal of agricultural economics
272
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
255
International journal of theoretical and applied finance
253
Applied economics
241
Mathematical finance : an international journal of mathematics, statistics and financial theory
240
The review of economics and statistics
239
Journal of financial economics
236
Journal of econometrics
222
CESifo working papers
218
Journal of monetary economics
215
Journal of political economy
209
Finance research letters
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Management science : journal of the Institute for Operations Research and the Management Sciences
204
Operations research letters
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Discussion paper / Tinbergen Institute
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Finance and economics discussion series
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Journal of money, credit and banking : JMCB
180
Economic modelling
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International journal of production economics
175
Southern economic journal
173
Journal of economic behavior & organization : JEBO
164
Economic inquiry : journal of the Western Economic Association International
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ECONIS (ZBW)
287
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287
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1
A càdlàg rough path foundation for robust finance
Allan, Andrew L.
;
Liu, Chong
;
Prömel, David Johannes
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 215-257
Persistent link: https://www.econbiz.de/10014447739
Saved in:
2
Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias
;
Lowther, George
;
Pammer, Gudmund
; …
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 259-284
Persistent link: https://www.econbiz.de/10014447742
Saved in:
3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria
;
Munari, Cosimo-Andrea
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 831-862
Persistent link: https://www.econbiz.de/10014328991
Saved in:
4
Optimal execution with stochastic delay
Cartea, Álvaro
;
Sánchez-Betancourt, Leandro
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10013489491
Saved in:
5
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin
;
Hobson, David G.
;
Jerome, Joseph
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
Saved in:
6
A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
Saved in:
7
Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph
;
Molitor, Alexander
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 927-982
Persistent link: https://www.econbiz.de/10013440257
Saved in:
8
Market-to-book ratio in stochastic portfolio theory
Kim, Donghan
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 401-434
Persistent link: https://www.econbiz.de/10014253650
Saved in:
9
Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel
;
Wiesel, Johannes
;
Zhao, Long
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 233-254
Persistent link: https://www.econbiz.de/10013489593
Saved in:
10
Reinforcement learning and stochastic optimisation
Jaimungal, Sebastian
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 103-129
Persistent link: https://www.econbiz.de/10012796477
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