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~subject:"Portfolio selection"
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Portfolio selection
Theorie
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12
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11
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11
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partial information
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Sass, Jörn
30
Belak, Christoph
5
Laudagé, Christian
4
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3
Wunderlich, Ralf
3
Desmettre, Sascha
2
Geissel, Sebastian
2
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Finance and stochastics
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
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2
Mathematical methods of operations research
2
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1
Insurance / Mathematics & economics
1
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1
Mathematics and financial economics
1
Operations research proceedings 2003 : selected papers of the International Conference on Operations Research (OR 2003), Heidelberg, September 3 - 5, 2003 ; with 51 tables
1
Operations research proceedings 2005 : selected papers of the Annual International Conference of the German Operations Research Society (GOR), Bremen, September 7 - 9, 2005
1
Operations research proceedings 2006 : selected papers of the Annual International Conference of the German Operations Research Society (GOR), jointly organized with the Austrian Society of Operations Research (ÖGOR) and the Swiss Society of Operations Research (SVOR), Karlsruhe, September 6 - 8 2006 ; with 79 tables
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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
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2
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
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3
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
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4
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
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5
Optimal portfolio policies under bounded expected loss and partial information
Sass, Jörn
;
Wunderlich, Ralf
- In:
Mathematical methods of operations research
72
(
2010
)
1
,
pp. 25-61
Persistent link: https://www.econbiz.de/10008652566
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6
Worst-case portfolio optimization : transaction costs and bubbles
Belak, Christoph
-
2015
Persistent link: https://www.econbiz.de/10011305814
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7
Filtering, approximation and portfolio optimization for shot-noise models and the heston model
Putyatina, Oleksandra
-
2012
Persistent link: https://www.econbiz.de/10009728923
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8
Maximizing the asymptotic growth rate under fixed and proportional transaction costs in a financial market with jumps
Kochendörfer, Alexandra
-
2012
Persistent link: https://www.econbiz.de/10009728924
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9
FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn
;
Smaga, Martin
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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10
Numeraire portfolios and utility-based price systems under proportional transaction costs
Sass, Jörn
;
Schäl, Manfred
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 195-234
Persistent link: https://www.econbiz.de/10010412499
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