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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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Optimizing the terminal wealth under partial information : the drift process as a continuous time markov chain
Sass, Jörn; Haussmann, Ulrich G. - In: Finance and stochastics 8 (2004) 4, pp. 553-577
Persistent link: https://www.econbiz.de/10002261492
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Convex measures of risk and trading constraints
Föllmer, Hans; Schied, Alexander - In: Finance and stochastics 6 (2002) 4, pp. 429-447
Persistent link: https://www.econbiz.de/10001702779
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Quantile hedging
Föllmer, Hans; Leukert, Peter - In: Finance and stochastics 3 (1999) 3, pp. 251-273
Persistent link: https://www.econbiz.de/10001389101
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Finite-horizon optimal investment with transaction costs : construction of the optimal strategies
Belak, Christoph; Sass, Jörn - In: Finance and stochastics 23 (2019) 4, pp. 861-888
Persistent link: https://www.econbiz.de/10012114661