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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Dynamische Optimierung"
~subject:"Kontrolltheorie"
~subject:"Risiko"
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Dynamische Optimierung
Kontrolltheorie
Risiko
Portfolio selection
220
Portfolio-Management
220
Theorie
145
Theory
145
Stochastic process
54
Stochastischer Prozess
54
Option pricing theory
33
Optionspreistheorie
33
Hedging
30
Mathematical programming
27
Mathematische Optimierung
27
Risk
26
Risikomaß
22
Risk measure
22
CAPM
21
Credit risk
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Kreditrisiko
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Derivat
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Derivative
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Transaction costs
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Transaktionskosten
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Measurement
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Messung
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Risikomanagement
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Risk management
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Volatility
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Volatilität
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Capital income
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Kapitaleinkommen
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stochastic control
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Control theory
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Statistical distribution
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Statistische Verteilung
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Dynamic programming
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Martingal
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9
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Biglova, Almira
2
Fabozzi, Frank J.
2
Gardiol, Lucien
2
Ortobelli, Sergio
2
Račev, Svetlozar T.
2
Rudloff, Birgit
2
Stoyanov, Stoyan
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Agliardi, Rossella
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Altay, Sühan
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Cartea, Álvaro
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1
Chen, Tao
1
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1
Cialenco, Igor
1
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1
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Cong, F.
1
Cont, R.
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
154
European journal of operational research : EJOR
100
Journal of banking & finance
77
Finance research letters
75
Risks : open access journal
63
NBER working paper series
55
Finance and stochastics
44
International review of financial analysis
42
Quantitative finance
41
International review of economics & finance : IREF
39
NBER Working Paper
39
The journal of asset management
38
Journal of economic dynamics & control
36
Journal of financial economics
35
Working paper / National Bureau of Economic Research, Inc.
35
Journal of empirical finance
34
Mathematical finance : an international journal of mathematics, statistics and financial theory
34
Economic modelling
32
The North American journal of economics and finance : a journal of financial economics studies
30
Management science : journal of the Institute for Operations Research and the Management Sciences
28
Scandinavian actuarial journal
28
Mathematical methods of operations research
27
Mathematics and financial economics
27
The journal of portfolio management : a publication of Institutional Investor
27
Applied economics
26
Journal of risk and financial management : JRFM
25
Discussion paper / Centre for Economic Policy Research
24
Discussion paper / Tinbergen Institute
24
Journal of risk
24
Economics letters
23
Research paper series / Swiss Finance Institute
23
Operations research
22
The European journal of finance
22
Computational economics
20
Journal of mathematical finance
20
Discussion papers / CEPR
18
Energy economics
17
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
45
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1
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance
portfolio
selection
Bielecki, Tomasz R.
;
Chen, Tao
;
Cialenco, Igor
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
Saved in:
2
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:
3
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
4
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:
5
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:
6
Optimal dynamic futures portfolio under a multifactor Gaussian framework
Leung, Tim
;
Yan, Raphael
;
Zhou, Yang
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012662043
Saved in:
7
Pricing temperature derivatives under weather forecasts
Hess, Markus
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
Saved in:
8
Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne
;
Xu, Junwei
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
Saved in:
9
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
10
Multiplier optimization for constant proportion portfolio insurance (cppi) strategy
Biedova, Olga
;
Steblovskaya, Victoria
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012270906
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