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Portfolio optimization under partial information and convex constraints in a hidden Markov model

Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006

Persistent link: https://www.econbiz.de/10003347537

Portfolio optimization under transaction costs in the CRR model

Sass, Jörn - In: Mathematical methods of operations research 61 (2005) 2, pp. 239-259

Persistent link: https://www.econbiz.de/10002858606

Filter‐based portfolio strategies in an HMM setting with varying correlation parametrizations

Erlwein‐Sayer, Christina; Grimm, Stefanie; … - In: Applied Stochastic Models in Business and Industry 36 (2019) 3, pp. 307-334

Persistent link: https://www.econbiz.de/10012272501

Good-deal bounds for option prices under value-at-risk and expected shortfall constraints

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - In: Risks 8 (2020) 4, pp. 1-22

In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We show that the pricing bounds obtained from the...

Persistent link: https://www.econbiz.de/10013200647

Optimizing consumption and investment : the case of partial information

Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2007 : selected papers …, (pp. 57-62). 2008

Persistent link: https://www.econbiz.de/10003716063

Optimal consumption and investment under partial information

Putschögl, Wolfgang; Sass, Jörn - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 2, pp. 137-170

Persistent link: https://www.econbiz.de/10003771480

Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods

Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 227-232). 2007

Persistent link: https://www.econbiz.de/10003470697

Trading regions under proportional transaction costs

Kunisch, Karl; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 563-568). 2007

Persistent link: https://www.econbiz.de/10003472122

Optimal portfolios under bounded shortfall risk and partial information

Wunderlich, Ralf; Sass, Jörn; Gabih, Abdelali - In: Operations research proceedings 2006 : selected papers …, (pp. 581-586). 2007

Persistent link: https://www.econbiz.de/10003472251

Estimating models based on Markov jump processes given fragmented observation series

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 403-425

Persistent link: https://www.econbiz.de/10003910570