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A worst-case approach for interest rate stresses and stock crashes
Beißer, Marcel; Geisinger, Leander; Korn, Ralf - In: IMA journal of management mathematics 33 (2022) 3, pp. 491-510
Persistent link: https://www.econbiz.de/10013253394
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Optimal portfolio choice with crash risk and model ambiguity
Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10013189925
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Dynamic hybrid products with guarantees : an optimal portfolio framework
Hambardzumyan, Hayk; Korn, Ralf - In: Insurance / Mathematics & economics 84 (2019), pp. 54-66
Persistent link: https://www.econbiz.de/10011990433
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Multi-asset worst-case optimal portfolios
Korn, Ralf; Leoff, Elisabeth - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030905
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Portfolio optimization with early announced discrete dividends
Desmettre, Sascha; Grün, Sarah; Korn, Ralf - In: Operations research letters 46 (2018) 5, pp. 548-552
Persistent link: https://www.econbiz.de/10011936705
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Worst-case portfolio optimization in discrete time
Chen, Lihua; Korn, Ralf - In: Mathematical methods of operations research 90 (2019) 2, pp. 197-227
Persistent link: https://www.econbiz.de/10012132709