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PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
Bäuerle, Nicole; Rieder, Ulrich - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10008221958
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Dynamic mean-risk optimization in a binomial model
Bäuerle, Nicole; Mundt, André - In: Mathematical methods of operations research 70 (2009) 2, pp. 219-240
Persistent link: https://www.econbiz.de/10008325664
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MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole; Rieder, Ulrich - In: Finance and stochastics 13 (2009) 4, pp. 591-612
Persistent link: https://www.econbiz.de/10008274829
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The periodic risk model with investment
Kötter, Mirko; Bäuerle, Nicole - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 962-967
Persistent link: https://www.econbiz.de/10008057657
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Dependence properties and comparison results for Lévy processes
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Mathematical methods of operations research 67 (2008) 1, pp. 161
Persistent link: https://www.econbiz.de/10007900571
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Markov-modulated diffusion risk models
Bäuerle, Nicole; Kötter, Mirko - In: Scandinavian actuarial journal : Actuarial Society of … 107 (2007) 1, pp. 34-52
Persistent link: https://www.econbiz.de/10007608718
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C OPTIMAL ALLOCATION - Bounds and performance limits of channel assignment Cd:250 policies in cellular networks
Bäuerle, Nicole; Houdek, Anja - In: Operations research, Management science : OR MS ; the … 43 (2003) 1, pp. 49-50
Persistent link: https://www.econbiz.de/10006507081
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Discounted Stochastic Fluid Programs
Bäuerle, Nicole - In: Mathematics of operations research 26 (2001) 2, pp. 401-420
Persistent link: https://www.econbiz.de/10006418863
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Optimal Retirement Planning Under Partial Information
Bäuerle, Nicole - 2019
The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...
Persistent link: https://www.econbiz.de/10012898863
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Consistent upper price bounds for exotic options
Bäuerle, Nicole; Schmithals, Daniel Matthias - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10012650310