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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kontrolltheorie"
~subject:"Risiko"
~subject:"Statistische Verteilung"
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Kontrolltheorie
Risiko
Statistische Verteilung
Portfolio selection
220
Portfolio-Management
220
Theorie
145
Theory
145
Stochastic process
54
Stochastischer Prozess
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33
Optionspreistheorie
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stochastic control
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Biglova, Almira
2
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
160
European journal of operational research : EJOR
98
Journal of banking & finance
88
Finance research letters
82
Risks : open access journal
72
NBER working paper series
56
International review of financial analysis
49
The journal of asset management
47
Finance and stochastics
45
Quantitative finance
45
International review of economics & finance : IREF
42
NBER Working Paper
40
Journal of empirical finance
39
Economic modelling
38
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36
The North American journal of economics and finance : a journal of financial economics studies
35
Working paper / National Bureau of Economic Research, Inc.
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Applied economics
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Discussion paper / Tinbergen Institute
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
31
Management science : journal of the Institute for Operations Research and the Management Sciences
30
Research paper series / Swiss Finance Institute
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The journal of portfolio management : a publication of Institutional Investor
30
Journal of risk
29
Journal of risk and financial management : JRFM
28
Scandinavian actuarial journal
27
Economics letters
26
The European journal of finance
26
Discussion paper / Centre for Economic Policy Research
24
Mathematics and financial economics
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Journal of mathematical finance
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Operations research
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Mathematical methods of operations research
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Computational economics
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Journal of econometrics
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ECONIS (ZBW)
47
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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
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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