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Ambiguity in portfolio selection

Pflug, Georg; Wozabal, David - In: Quantitative fund management, (pp. 377-391). 2009

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Quantitative fund management

Dempster, Michael A. H. (contributor); … - 2009

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The 1/N investment strategy is optimal under high model ambiguity

Pflug, Georg; Pichler, Alois; Wozabal, David - In: Journal of banking & finance 36 (2012) 2, pp. 410-417

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Time-inconsistent multistage stochastic programs : martingale bounds

Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163

Persistent link: https://www.econbiz.de/10011434903

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147

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Systemic risk and copula models

Pflug, Georg; Pichler, Alois - In: Central European journal of operations research : CEJOR … 26 (2018) 2, pp. 465-483

Persistent link: https://www.econbiz.de/10011866135

Quantitative fund management

Dempster, M. A. H. (contributor); Mitra, Gautam (contributor) - 2009

chapter Introduction to Quantitative Fund Management -- chapter 1 Trends in Quantitative Equity Management -- chapter 2 Portfolio Optimization under the Value-at-Risk Constraint -- chapter 3 Dynamic Consumption and Asset Allocation with Derivative Securities -- chapter 4 Volatility-Induced...

Persistent link: https://www.econbiz.de/10015069019