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~subject:"Stochastischer Prozess"
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Search: subject:"mean-variance optimization"
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Stochastischer Prozess
Portfolio selection
47
Portfolio-Management
47
Theorie
42
Theory
41
mean-variance optimization
31
Mean-variance optimization
24
Mathematical programming
18
Mathematische Optimierung
18
CAPM
9
Risiko
7
Risk
7
Estimation theory
6
Mean–variance optimization
6
Schätztheorie
6
asset allocation
6
portfolio selection
6
Mean-Variance Optimization
5
Risikoaversion
5
efficient frontier
5
Financial investment
4
Forecasting model
4
Hedging
4
Kapitalanlage
4
Markov chain
4
Markov-Kette
4
Prognoseverfahren
4
Risk aversion
4
Stochastic process
4
Asset allocation
3
Black-Litterman
3
Correlation
3
Cryptocurrencies
3
Estimation errors
3
Exchange rate risk
3
HJB equation
3
Korrelation
3
Markowitz mean-variance optimization
3
Mean-variance Optimization
3
Portfolio optimization
3
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Benazzoli, Chiara
1
Di Persio, Luca
1
Mudzimbabwe, Walter
1
Muravey, Dmitry
1
Shen, Yang
1
Sun, Zhongyang
1
Tian, Yingxu
1
Wang, Wenyuan
1
Zeng, Yan
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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
1
International journal of financial engineering
1
Journal of risk and financial management : JRFM
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
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1
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
- In:
Scandinavian actuarial journal
2023
(
2023
)
5
,
pp. 413-449
Persistent link: https://www.econbiz.de/10014336459
Saved in:
2
Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu
;
Sun, Zhongyang
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
2
,
pp. 1-12
processes are correlated by a common shock. A general
mean-variance
optimization
problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10011857001
Saved in:
3
A time consistent derivative strategy
Mudzimbabwe, Walter
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
Saved in:
4
Optimal execution strategy in liquidity framework under exponential temporary market impact
Benazzoli, Chiara
;
Di Persio, Luca
- In:
Handbook of recent advances in commodity and financial …
,
(pp. 251-265)
.
2018
Persistent link: https://www.econbiz.de/10011898647
Saved in:
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