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Estimating models based on Markov jump processes given fragmented observation series
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 403-425
Persistent link: https://www.econbiz.de/10003910570
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Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 88-121
Persistent link: https://www.econbiz.de/10003997336
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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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Worst-case portfolio optimization : transaction costs and bubbles
Belak, Christoph - 2015
Persistent link: https://www.econbiz.de/10011305814
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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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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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Primal-dual methods for the computation of trading regions under proportional transaction costs
Herzog, Roland; Kunisch, Karl; Sass, Jörn - In: Mathematical methods of operations research 77 (2013) 1, pp. 101-130
Persistent link: https://www.econbiz.de/10009713749
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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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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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Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn - In: The econometrics journal 11 (2008) 2, pp. 244-270
Persistent link: https://www.econbiz.de/10003750782