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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~subject:"Control theory"
~subject:"Mathematische Optimierung"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Control theory
Mathematische Optimierung
Portfolio selection
33
Portfolio-Management
33
Theorie
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Theory
18
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16
Stochastischer Prozess
16
Hedging
9
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portfolio optimization
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Campi, Luciano
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Applied mathematical finance
European journal of operational research : EJOR
73
International journal of theoretical and applied finance
25
Finance research letters
23
Insurance / Mathematics & economics
22
Quantitative finance
21
Journal of the Operational Research Society
20
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Journal of mathematical finance
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Operations research letters
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Omega : the international journal of management science
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Scandinavian actuarial journal
7
The engineering economist : a journal devoted to the problems of capital investment
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Computational Management Science : CMS
5
IMA journal of management mathematics
5
INFORMS journal on computing : JOC
5
RAIRO / Operations research
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of asset management
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The journal of investment strategies
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IEEE transactions on engineering management : EM
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INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
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1
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
2
Closed-form approximations in multi-asset market making
Bergault, Philippe
;
Evangelista, David
;
Guéant, Olivier
; …
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 101-142
Persistent link: https://www.econbiz.de/10013171062
Saved in:
3
Optimal market making under partial information with general intensities
Campi, Luciano
;
Zabaljauregui, Diego
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 1-45
Persistent link: https://www.econbiz.de/10012254093
Saved in:
4
Mean-field game strategies for optimal execution
Huang, Xuancheng
;
Jaimungal, Sebastian
;
Nourian, Mojtaba
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 153-185
Persistent link: https://www.econbiz.de/10012210268
Saved in:
5
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
Saved in:
6
High-dimensional statistical arbitrage with factor models and stochastic control
Guijarro-Ordonez, Jorge
- In:
Applied mathematical finance
26
(
2019
)
4
,
pp. 328-358
Persistent link: https://www.econbiz.de/10012210319
Saved in:
7
Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Mai, Jan-Frederik
- In:
Applied mathematical finance
26
(
2019
)
6
,
pp. 598-618
Persistent link: https://www.econbiz.de/10012210432
Saved in:
8
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
9
The optimal interaction between a hedge fund manager and investor
Ramirez, Hugo Eduardo
;
Johnson, Paul
;
Duck, Peter
; …
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 483-510
Persistent link: https://www.econbiz.de/10012129178
Saved in:
10
Optimal portfolio execution under time-varying liquidity constraints
Lin, Hua-Yi
;
Fahim, Arash
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 387-416
Persistent link: https://www.econbiz.de/10011815279
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