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Portfolio selection
Stochastischer Prozess
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European journal of operational research : EJOR
77
International journal of theoretical and applied finance
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Finance and stochastics
48
Quantitative finance
37
Journal of economic dynamics & control
33
Mathematical finance : an international journal of mathematics, statistics and financial theory
31
Mathematical methods of operations research
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Astin bulletin : the journal of the International Actuarial Association
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OR spectrum : quantitative approaches in management
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
1,682
RePEc
2
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1
Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas
;
Murgoci, Agatha
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
Saved in:
2
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter
- In:
Mathematics of operations research
39
(
2014
)
4
,
pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
Saved in:
3
Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet
;
Xu, Zhikang
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
Saved in:
4
Stochastic liquidity as a proxy for nonlinear price impact
Muhle-Karbe, Johannes
;
Wang, Zexin
;
Webster, Kevin T.
- In:
Operations research
72
(
2024
)
2
,
pp. 444-458
Persistent link: https://www.econbiz.de/10014520747
Saved in:
5
Multiperiod portfolio procurement problem with option contracts
Chen, Xu
;
Wan, Nana
- In:
IEEE transactions on engineering management : EM
68
(
2021
)
4
,
pp. 1072-1088
Persistent link: https://www.econbiz.de/10012631150
Saved in:
6
Stochastische mehrstufige lineare Programmierung im Asset & Liability Management
Marohn, Christina A.
;
Marohn, Christina
-
1998
Persistent link: https://www.econbiz.de/10000673233
Saved in:
7
An approximate solution for optimal portfolio in incomplete markets
Menoncin, Francesco
- In:
Mathematical control theory and finance
,
(pp. 293-310)
.
2008
Persistent link: https://www.econbiz.de/10003755883
Saved in:
8
Optioned portfolio selection : models and analysis
Liang, Jianfeng
;
Zhang, Shuzhong
;
Li, Duan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
Saved in:
9
Dynamic asset allocation strategies using a stochastic dynamic programming approach
Infanger, Gerd
-
2006
Persistent link: https://www.econbiz.de/10003356686
Saved in:
10
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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