Narrow search
Showing 21 - 30 of 75
Cover Image
Optimizing consumption and investment : the case of partial information
Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2007 : selected papers …, (pp. 57-62). 2008
Persistent link: https://www.econbiz.de/10003716063
Cover Image
Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods
Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 227-232). 2007
Persistent link: https://www.econbiz.de/10003470697
Cover Image
Continuous-time portfolio optimization under partial information and convex constraints : deriving explicit results
Vonwirth, Christian - 2017
Persistent link: https://www.econbiz.de/10012659449
Cover Image
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
Cover Image
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
Cover Image
Robust utility maximizing strategies under model uncertainty and their convergence
Sass, Jörn; Westphal, Dorothee - In: Mathematics and financial economics 16 (2022) 2, pp. 367-397
Persistent link: https://www.econbiz.de/10013167940
Cover Image
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
Leoff, Elisabeth; Ruderer, Leonie; Sass, Jörn - In: Mathematical methods of operations research : ZOR 95 (2022) 2, pp. 327-359
Persistent link: https://www.econbiz.de/10013454890
Cover Image
Estimation and portfolio optimization with expert opinions in discrete-time financial markets
Xu, Yihua - 2021
Persistent link: https://www.econbiz.de/10013281457
Cover Image
Combining multi-asset and intrinsic risk measures
Laudagé, Christian; Sass, Jörn; Wenzel, Jörg - In: Insurance / Mathematics & economics 106 (2022), pp. 254-269
Persistent link: https://www.econbiz.de/10013380532
Cover Image
Optimal portfolio strategies benchmarking the stock market
Gabih, Abdelali; Grecksch, Wilfried; Richter, Matthias; … - In: Mathematical methods of operations research 64 (2006) 2, pp. 211-225
Persistent link: https://www.econbiz.de/10003380210