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subject:"Portfolio-Management"
subject:"United States"
~language:"afr"
~language:"eng"
~person:"Kallsen, Jan"
~subject:"CAPM"
~subject:"Estimation theory"
~subject:"Mathematische Optimierung"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Hochschulschrift"
~type_genre:"Multi-volume publication"
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Portfolio-Management
United States
CAPM
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Mathematische Optimierung
Theorie
Theory
17
Portfolio selection
6
Martingal
5
Martingale
5
Option pricing theory
5
Optionspreistheorie
5
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4
Incomplete market
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transaction costs
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Allgemeines Gleichgewicht
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Capital income
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Consumption theory
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Kallsen, Jan
Beladi, Hamid
163
Creedy, John
144
Güth, Werner
144
Pestieau, Pierre
144
Phillips, Peter C. B.
143
Lai, Ching-chong
140
Nijkamp, Peter
130
Turnovsky, Stephen J.
126
Marjit, Sugata
120
Mukherjee, Arijit
119
Thisse, Jacques-François
119
Färe, Rolf
116
Tirole, Jean
116
Cremer, Helmuth
114
Acemoglu, Daron
113
Long, Ngo Van
112
Lambertini, Luca
110
Laporte, Gilbert
110
Jarrow, Robert A.
106
Cheng, T. C. E.
104
Tsionas, Efthymios G.
102
Devereux, Michael B.
100
Miceli, Thomas J.
100
Kumbhakar, Subal
98
Shogren, Jason F.
98
Gersbach, Hans
97
Broll, Udo
96
Quiggin, John C.
96
Gupta, Rangan
95
Stiglitz, Joseph E.
95
Franses, Philip Hans
94
Chao, Chi-Chur
93
Frey, Bruno S.
93
Lien, Da-hsiang Donald
93
Sappington, David Edward Michael
93
Bossert, Walter
92
Laffont, Jean-Jacques
92
Ploeg, Frederick van der
90
Wang, Leonard F. S.
90
Andersen, Torben M.
89
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Christian-Albrechts-Universität zu Kiel
2
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Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Finance and stochastics
4
Mathematical methods of operations research
3
International journal of theoretical and applied finance
1
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ECONIS (ZBW)
17
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1
Portfolio optimization in arbitrary dimensions in the presence of small bid-ask spreads
Mikheev, Sergej
-
2017
Persistent link: https://www.econbiz.de/10012193877
Saved in:
2
Optimal investment and utility indifference pricing in the presence of small fixed transaction costs
Feodoria, Mark-Roman
-
2016
Persistent link: https://www.econbiz.de/10012388607
Saved in:
3
The Heath-Jarrow-Morton approach for modelling stock options
Krühner, Paul
-
2012
Persistent link: https://www.econbiz.de/10009549758
Saved in:
4
The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 659-703
Persistent link: https://www.econbiz.de/10011764966
Saved in:
5
Hedging in affine stochastic volatility models
Vierthauer, Richard
-
2010
Persistent link: https://www.econbiz.de/10008779220
Saved in:
6
On the existence of shadow prices
Benedetti, Giuseppe
;
Campi, Luciano
;
Kallsen, Jan
; …
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 801-818
Persistent link: https://www.econbiz.de/10010190874
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
Utility maximization in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
Saved in:
9
Hedging by sequential regressions revisited
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 591-617
Persistent link: https://www.econbiz.de/10003937143
Saved in:
10
Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
Saved in:
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