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Optimal investment with deferred capital gains taxes : a simple martingale method approach
Seifried, Frank Thomas - In: Mathematical methods of operations research 71 (2010) 1, pp. 181-199
Persistent link: https://www.econbiz.de/10003958350
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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The proper use of risk measures in portfolio theory
Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133
Persistent link: https://www.econbiz.de/10003280039
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Portfolio problems stopping at first hitting time with application to default risk
Kraft, Holger; Steffensen, Mogens - In: Mathematical methods of operations research 63 (2006) 1, pp. 123-150
Persistent link: https://www.econbiz.de/10003285476
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Portfolio optimization in stochastic markets
Çakmak, U.; Özekici, S. - In: Mathematical methods of operations research 63 (2006) 1, pp. 151-168
Persistent link: https://www.econbiz.de/10003285483
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Crash hedging strategies and worst-case scenario portfolio optimization
Menkens, Olaf - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 597-618
Persistent link: https://www.econbiz.de/10003347393
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Optimal portfolio selection strategies in the presence of transaction costs
Meng, Qiang; Weerasinghe, Ananda - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 619-641
Persistent link: https://www.econbiz.de/10003347396
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A general approach to Bayesian portfolio optimization
Bade, Alexander; Frahm, Gabriel; Jaekel, Uwe - In: Mathematical methods of operations research 70 (2009) 2, pp. 337-356
Persistent link: https://www.econbiz.de/10003905261
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Risk-sensitive capacity control in revenue management C. Barz; K.-H. Waldmann
Barz, C.; Waldmann, Karl-Heinz - In: Mathematical methods of operations research 65 (2007) 3, pp. 565-579
Persistent link: https://www.econbiz.de/10003489796
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On portfolio selection under extreme risk measure : the heavy-tailed ICA model
Clémençon, Stéphan; Slim, Skander - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 449-474
Persistent link: https://www.econbiz.de/10003463451