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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktischen Anwendungen in Finanzanalyse und Portfoliomanagement
Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2008 - 4., vollst. überarb. Aufl.
Persistent link: https://www.econbiz.de/10003597953
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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Dynamic mean-variance optimization problems with deterministic information
Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011854586
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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12
This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...
Persistent link: https://www.econbiz.de/10011857001
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …
Persistent link: https://www.econbiz.de/10011867378
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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktische Anwendung in Finanzanalyse und Portfoliomanagement
Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2000
Persistent link: https://www.econbiz.de/10001446941
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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktische Anwendung in Finanzanalyse und Portfoliomanagement
Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2003 - 3., erweiterte Auflage
Persistent link: https://www.econbiz.de/10001798045
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Stochastic dominance, efficiency and separation in financial markets
Bawa, Vijay S.; Goroff, Daniel L. - In: Journal of economic theory 30 (1983) 2, pp. 410-414
Persistent link: https://www.econbiz.de/10001877971
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Asset allocation and multivariate position based trading
Pape, Bernd - In: Journal of economic interaction and coordination : JEIC 2 (2007) 2, pp. 163-193
Persistent link: https://www.econbiz.de/10003580915
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Dynamic asset allocation for varied financial markets under regime switching framework
Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458
Persistent link: https://www.econbiz.de/10010356729