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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Optionspreistheorie"
~subject:"Unvollkommener Markt"
~type:"article"
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Optionspreistheorie
Unvollkommener Markt
Portfolio selection
573
Portfolio-Management
573
Theorie
429
Theory
429
Mathematical programming
138
Mathematische Optimierung
138
Risiko
95
Risk
95
Stochastic process
90
Stochastischer Prozess
90
Risikomaß
73
Risk measure
73
Finance
67
Risikomanagement
56
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56
Portfolio optimization
48
CAPM
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Decision under uncertainty
37
Entscheidung unter Unsicherheit
37
Multi-criteria analysis
36
Multikriterielle Entscheidungsanalyse
36
Option pricing theory
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Transaction costs
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Transaktionskosten
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Investment analysis
33
Hedging
32
Risikoaversion
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Risk aversion
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Incomplete market
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Dynamic programming
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Measurement
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Messung
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Robust statistics
25
Robustes Verfahren
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Capital income
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Dynamische Optimierung
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58
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58
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Pelsser, Antoon André Jean
2
Rogers, Leonard C. G.
2
Xia, Jianming
2
Zhou, Xun Yu
2
Anh Ngoc Lai
1
Arai, Takuji
1
Araújo, Aloísio Barboza de
1
Balter, Anne G.
1
Bank, Peter
1
Baum, Dietmar
1
Bayraktar, Erhan
1
Benth, Fred Espen
1
Bermin, Hans-Peter
1
Biagini, Sara
1
Bielecki, Tomasz R.
1
Cao, Xi-Ren
1
Carassus, Laurence
1
Choulli, Tahir
1
Colwell, David B.
1
Coqueret, Guillaume
1
Costin, Ovidiu
1
Cui, Zhenyu
1
Cuoco, Domenico
1
Cvitanić, Jakša
1
De Donno, Marzia
1
Detemple, Jérôme B.
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Di Giacinto, Marina
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Di Nunno, Giulia
1
Dolinsky, Yan
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Du, Ke
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Frey, Rüdiger
1
Fukasawa, Masaaki
1
Geman, Hélyette
1
Girotto, Bruno
1
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1
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European journal of operational research : EJOR
Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
38
Insurance / Mathematics & economics
35
Finance and stochastics
34
Journal of economic dynamics & control
27
Quantitative finance
19
Applied mathematical finance
14
International journal of financial engineering
14
Journal of banking & finance
14
Journal of mathematical finance
14
Mathematics and financial economics
13
Annals of finance
10
Journal of risk and financial management : JRFM
10
Risks : open access journal
10
The journal of computational finance
10
The review of financial studies
10
Finance research letters
9
International review of financial analysis
8
Mathematical methods of operations research
8
Economic modelling
7
Review of derivatives research
7
Scandinavian actuarial journal
7
The North American journal of economics and finance : a journal of financial economics studies
7
The journal of derivatives : JOD
7
Astin bulletin : the journal of the International Actuarial Association
6
Journal of financial economics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
Mathematics of operations research
6
The European journal of finance
6
Applied economics letters
5
Computational Management Science : CMS
5
Economic theory : official journal of the Society for the Advancement of Economic Theory
5
Journal of economic theory
5
Journal of international economics
5
Operations research letters
5
Risk and decision analysis
5
The journal of finance : the journal of the American Finance Association
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
4
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ECONIS (ZBW)
58
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1
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Saved in:
2
Near-optimal asset allocation in financial markets with trading constraints
Kamma, Thijs
;
Pelsser, Antoon André Jean
- In:
European journal of operational research : EJOR
297
(
2022
)
2
,
pp. 766-781
Persistent link: https://www.econbiz.de/10013259935
Saved in:
3
Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi
;
Jin, Xing
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
Saved in:
4
A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu
;
Kirby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 381-398
Persistent link: https://www.econbiz.de/10012416736
Saved in:
5
Integrated dynamic models for hedging international portfolio risks
Topaloglou, Nikolas
;
Vladimirou, Hercules
;
Zenios, …
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 48-65
Persistent link: https://www.econbiz.de/10012239474
Saved in:
6
Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
Maier, Sebastian
;
Pflug, Georg
;
Polak, John W.
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 133-147
Persistent link: https://www.econbiz.de/10012239492
Saved in:
7
VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas
;
Seeger, Norman
- In:
European journal of operational research : EJOR
283
(
2020
)
2
,
pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
Saved in:
8
Pricing and hedging in incomplete markets with model uncertainty
Balter, Anne G.
;
Pelsser, Antoon André Jean
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 911-925
Persistent link: https://www.econbiz.de/10012161810
Saved in:
9
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
10
On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan
;
Zhou, Zhou
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
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