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Optimal portfolios with bounded value-at-risk

Klüppelberg, Claudia; Korn, Ralf - 1998

Persistent link: https://www.econbiz.de/10000682685

Value preserving portfolio strategies and the minimal martingale measure

Korn, Ralf - 1996

Persistent link: https://www.econbiz.de/10000954695

Optimal cash management for equity index tracking in the presence of fixed and proportional transaction costs

Buckley, I. R. C. - 1997

Persistent link: https://www.econbiz.de/10000960546

Optimal portfolios : new variations of an old theme

Korn, Ralf - In: Computational Management Science : CMS 5 (2008) 4, pp. 289-304

Persistent link: https://www.econbiz.de/10003758290

Monte Carlo methods and models in finance and insurance

Korn, Ralf; Korn, Elke; Kroisandt, Gerald - 2010

Persistent link: https://www.econbiz.de/10003895954

Continuous-time mean-variance portfolio optimization in a jump-diffusion market

Alp, Ozge Sezgin; Korn, Ralf - In: Decisions in economics and finance : DEF ; a journal of … 34 (2011) 1, pp. 21-40

Persistent link: https://www.econbiz.de/10009375110

Nested MC-based risk measurement of complex portfolios : acceleration and energy efficiency

Desmettre, Sascha; Korn, Ralf; Varela, Javier Alejandro; … - In: Risks : open access journal 4 (2016) 4, pp. 1-35

-at-risk (cVaR) by means of nested Monte Carlo (MC) simulations. We do so by combining theory and software/hardware implementation …

Persistent link: https://www.econbiz.de/10011556579

Worst-case portfolio optimization under stochastic interest rate risk

Engler, Tina; Korn, Ralf - In: Risks : open access journal 2 (2014) 4, pp. 469-488

We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash....

Persistent link: https://www.econbiz.de/10010489062

A general framework for high yield bond investment

Korn, Ralf; Kovilyanskaya, Helen - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 967-984

Persistent link: https://www.econbiz.de/10003630979

Lifetime consumption and investment for worst-case crash scenarios

Desmettre, Sascha; Korn, Ralf; Seifried, Frank Thomas - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011403176