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subject:"Portfolio-Management"
subject:"United States"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Markov chain"
~subject:"Mathematische Optimierung"
~subject:"Optionsgeschäft"
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Portfolio-Management
United States
Markov chain
Mathematische Optimierung
Optionsgeschäft
Theorie
567
Theory
567
Portfolio selection
145
Stochastic process
116
Stochastischer Prozess
116
Option pricing theory
103
Optionspreistheorie
103
Volatility
76
Volatilität
76
Credit risk
67
Kreditrisiko
67
Derivat
65
Derivative
65
Hedging
55
Yield curve
51
Zinsstruktur
51
CAPM
43
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36
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36
Börsenkurs
34
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34
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33
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33
Markov-Kette
29
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28
Statistische Verteilung
28
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27
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Risk measure
27
Black-Scholes model
25
Capital income
25
Incomplete market
25
Kapitaleinkommen
25
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25
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24
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204
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207
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207
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3
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3
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English
207
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Elliott, Robert J.
6
Konno, Hiroshi
6
Korn, Ralf
6
Fabozzi, Frank J.
5
Platen, Eckhard
5
Wu, Lixin
4
Bielecki, Tomasz R.
3
Forsyth, Peter A.
3
Kim, Young Shin
3
Kwok, Yue-Kuen
3
Schoutens, Wim
3
Wilmott, Paul
3
Yamamoto, Rei
3
Abergel, Frédéric
2
Baviera, Roberto
2
Benth, Fred Espen
2
Epstein, D.
2
Escobar, Marcos
2
Frahm, Gabriel
2
Gardiol, Lucien
2
Herzog, Florian
2
Hinz, Juri
2
Hui, Cho H.
2
Jaimungal, Sebastian
2
Kraft, Holger
2
Kromer, Eduard
2
Kupper, Michael
2
Lipton, Alexander
2
Liu, Rui Hua
2
Lo, C. F.
2
Madan, Dilip B.
2
Meister, Bernhard K.
2
Overbeck, Ludger
2
Pham, Huyên
2
Račev, Svetlozar T.
2
Rudloff, Birgit
2
Sass, Jörn
2
Westphal, Dorothee
2
Wunderlich, Ralf
2
Yong, Jiongmin
2
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Barcelona Workshop on Mathematical Finance <2017, Barcelona>
1
Published in...
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International journal of theoretical and applied finance
European journal of operational research : EJOR
2,320
Working paper / National Bureau of Economic Research, Inc.
1,552
Computers & operations research : and their applications to problems of world concern ; an international journal
1,220
International journal of production research
640
Operations research letters
623
Discussion paper / Centre for Economic Policy Research
459
Journal of banking & finance
400
Operations research
397
Journal of economic dynamics & control
385
Mathematics of operations research
366
NBER working paper series
345
Insurance / Mathematics & economics
343
INFORMS journal on computing : JOC
334
The American economic review
332
Economics letters
321
Management science : journal of the Institute for Operations Research and the Management Sciences
312
The review of financial studies
308
Mathematical methods of operations research
307
The journal of finance : the journal of the American Finance Association
298
Working paper
296
International journal of production economics
290
American journal of agricultural economics
271
NBER Working Paper
262
Discussion paper / Tinbergen Institute
256
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The review of economics and statistics
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234
Journal of the Operational Research Society : OR
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Journal of financial economics
229
Mathematical finance : an international journal of mathematics, statistics and financial theory
213
Journal of monetary economics
212
Finance and stochastics
208
CESifo working papers
205
Omega : the international journal of management science
205
Journal of econometrics
199
Journal of political economy
196
SpringerLink / Bücher
194
Discussion paper series / IZA
193
Finance research letters
191
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ECONIS (ZBW)
207
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207
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1
Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization
Staden, Pieter M. van
;
Dang, Duy Minh
;
Forsyth, Peter A.
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012662021
Saved in:
2
Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
Fukasawa, Masaaki
;
Ohnishi, Masamitsu
;
Shimoshimizu, Makoto
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-43
Persistent link: https://www.econbiz.de/10012662027
Saved in:
3
Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
4
Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
5
Survival investment strategies in a continuous-time market model with competition
Zhitlukhin, M. V.
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012650248
Saved in:
6
Asset dependency structures and portfolio insurance strategies
Mantilla-Garcia, Daniel
;
Horst, Enrique ter
;
Audeguil, …
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652614
Saved in:
7
Financing and investment strategies under creditor-maximized liquidation
Shibata, Takashi
;
Nishihara, Michi
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012652635
Saved in:
8
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
9
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
10
Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn
;
Westphal, Dorothee
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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