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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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Continuous-time portfolio optimization under partial information and convex constraints : deriving explicit results
Vonwirth, Christian - 2017
Persistent link: https://www.econbiz.de/10012659449
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Estimation and portfolio optimization with expert opinions in discrete-time financial markets
Xu, Yihua - 2021
Persistent link: https://www.econbiz.de/10013281457
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Scalarized utility-based multi-asset risk measures
Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - 2021
Financial institutions have to satisfy capital adequacy tests required, e.g., by the Basel Accords for banks or by Solvency II for insurers. If the financial situation of an institution is tight, then it can happen that no reallocation of the initial endowment would pass the capital adequacy...
Persistent link: https://www.econbiz.de/10013212026
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Implied risk aversion : an alternative rating system for retail structured products
Fink, Holger Maria; Geissel, Sebastian; Sass, Jörn; … - In: Review of derivatives research 22 (2019) 3, pp. 357-387
Persistent link: https://www.econbiz.de/10012311821
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Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011687059
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Finite-horizon optimal investment with transaction costs : construction of the optimal strategies
Belak, Christoph; Sass, Jörn - In: Finance and stochastics 23 (2019) 4, pp. 861-888
Persistent link: https://www.econbiz.de/10012114661
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Approximation for portfolio optimization in a financial market with shot-noise jumps
Putyatina, Oleksandra; Sass, Jörn - In: Computational Management Science : CMS 15 (2018) 2, pp. 161-186
Persistent link: https://www.econbiz.de/10011876522
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Optimale Portfolios für partiell informierte Investoren in einem Finanzmarkt mit Gaußscher Drift und Expertenmeinungen
Kondakji, Hakam - 2019
Persistent link: https://www.econbiz.de/10012132329