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subject:"Portfolio-Management"
type_genre:"Sammlung"
~person:"Sass, Jörn"
~type_genre:"Article in journal"
~type_genre:"Collection of articles written by one author"
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Sass, Jörn
Fabozzi, Frank J.
41
Korn, Ralf
29
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26
Li, Duan
25
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25
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21
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2
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ECONIS (ZBW)
13
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1
Robust utility maximizing strategies under model uncertainty and their convergence
Sass, Jörn
;
Westphal, Dorothee
- In:
Mathematics and financial economics
16
(
2022
)
2
,
pp. 367-397
Persistent link: https://www.econbiz.de/10013167940
Saved in:
2
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
Leoff, Elisabeth
;
Ruderer, Leonie
;
Sass, Jörn
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
2
,
pp. 327-359
Persistent link: https://www.econbiz.de/10013454890
Saved in:
3
Combining multi-asset and intrinsic risk measures
Laudagé, Christian
;
Sass, Jörn
;
Wenzel, Jörg
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 254-269
Persistent link: https://www.econbiz.de/10013380532
Saved in:
4
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
Saved in:
5
Finite-horizon optimal investment with transaction costs : construction of the optimal strategies
Belak, Christoph
;
Sass, Jörn
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 861-888
Persistent link: https://www.econbiz.de/10012114661
Saved in:
6
Implied risk aversion : an alternative rating system for retail structured products
Fink, Holger Maria
;
Geissel, Sebastian
;
Sass, Jörn
; …
- In:
Review of derivatives research
22
(
2019
)
3
,
pp. 357-387
Persistent link: https://www.econbiz.de/10012311821
Saved in:
7
Approximation for portfolio optimization in a financial market with shot-noise jumps
Putyatina, Oleksandra
;
Sass, Jörn
- In:
Computational Management Science : CMS
15
(
2018
)
2
,
pp. 161-186
Persistent link: https://www.econbiz.de/10011876522
Saved in:
8
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Sass, Jörn
;
Westphal, Dorothee
;
Wunderlich, Ralf
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011687059
Saved in:
9
FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn
;
Smaga, Martin
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
Saved in:
10
Numeraire portfolios and utility-based price systems under proportional transaction costs
Sass, Jörn
;
Schäl, Manfred
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 195-234
Persistent link: https://www.econbiz.de/10010412499
Saved in:
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