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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
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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
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Optimal portfolios under the threat of a crash
Korn, Ralf; Wilmott, Paul - In: International journal of theoretical and applied finance 5 (2002) 2, pp. 171-187
Persistent link: https://www.econbiz.de/10001662970
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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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Worst-case scenario portfolio optimization : a new stochastic control approach
Korn, Ralf; Menkens, Olaf - In: Mathematical methods of operations research 62 (2005) 1, pp. 123-140
Persistent link: https://www.econbiz.de/10003114493